Fang Fang

Publication Activity (10 Years)

Years Active: 2007-2011
Publications (10 Years): 0

Publications

Fang Fang, Cornelis W. Oosterlee
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. SIAM J. Financial Math. 2 (1) (2011)
Fang Fang, Cornelis W. Oosterlee
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions. Numerische Mathematik 114 (1) (2009)
Fang Fang, Cornelis W. Oosterlee
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J. Sci. Comput. 31 (2) (2008)
R. Lord, Fang Fang, F. Bervoets, Cornelis W. Oosterlee
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. SIAM J. Sci. Comput. 30 (4) (2008)
R. Lord, Fang Fang, F. Bervoets, C. W. Oosterlee
A Fast Method for Pricing Early-Exercise Options with the FFT. International Conference on Computational Science (2) (2007)