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An efficient algorithm for Bermudan barrier option pricing Journal article
Applied Mathematics-A Journal of Chinese Universities, 2012,Volume: 27,Issue: 1,Page: 49-58
Authors:  DING Deng;  HUANG Ning-ying;  ZHAO Jing-ya
Favorite | View/Download:16/0 | TC[WOS]:2 TC[Scopus]:0 | Submit date:2019/05/22
American Barrier Option  Bermudan Option  Fourier Transform  Fourier-cosine Expansion  
Efficient Option Pricing Methods Based on Fourier Series Expansions Journal article
Journal of Mathematical Research & Exposition, 2011,Volume: 31,Issue: 1,Page: 12-22
Authors:  Deng DING;  Sio Chong U
Favorite | View/Download:4/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/09
Option Pricing  L´evy Process  Fourier Transform  Fourier Expansions