Pricing early-exercise and discrete barrier options by fourier-cosine series expansions.

Fang Fang Cornelis W. Oosterlee

Published in: Numerische Mathematik (2009)

Keyphrases

option pricing
black scholes model
translation invariant
double exponential
fourier transform
discrete version
multiscale
fourier spectrum
vector space
image reconstruction
radon transform
series expansion
fourier descriptors
mechanism design
dynamic pricing
distance function
supply chain
neural network