A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/100794158
Reference11 articles.
1. Algorithm 644
2. Simple and efficient simulation of the Heston stochastic volatility model
3. Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
4. A Theory of the Term Structure of Interest Rates
5. A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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