A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/080718061
Reference15 articles.
1. Accurate Evaluation of European and American Options Under the CGMY Process
2. Universal option valuation using quadrature methods
3. Extending quadrature methods to value multi-asset and complex path dependent options
4. Application of the Fast Gauss Transform to Option Pricing
5. The Fine Structure of Asset Returns: An Empirical Investigation
Cited by 573 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The Heston–Queue-Hawkes process: A new self-exciting jump–diffusion model for options pricing, and an extension of the COS method for discrete distributions;Journal of Computational and Applied Mathematics;2025-01
2. A generalized integral equation formulation for pricing American options under regime-switching model;Journal of Computational and Applied Mathematics;2025-01
3. Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk;Communications in Nonlinear Science and Numerical Simulation;2024-11
4. Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk;Applied Mathematics and Computation;2024-10
5. Consistent asset modelling with random coefficients and switches between regimes;Mathematics and Computers in Simulation;2024-09
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3