Marjon J. Ruijter

Publication Activity (10 Years)

Years Active: 2012-2015
Publications (10 Years): 1

Top Topics

Euclidean Distance

Basis Functions

Series Expansion

Top Venues

SIAM J. Sci. Comput.

Numer. Linear Algebra Appl.

Publications

Marjon J. Ruijter, Cornelis W. Oosterlee
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs. SIAM J. Sci. Comput. 37 (2) (2015)
Marjon J. Ruijter, Cornelis W. Oosterlee, R. F. T. Aalbers
On the Fourier cosine series expansion method for stochastic control problems. Numer. Linear Algebra Appl. 20 (4) (2013)
Marjon J. Ruijter, C. W. Oosterlee
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. SIAM J. Sci. Comput. 34 (5) (2012)