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Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Applied Mechanics and Materials, Kunming, PEOPLES R CHINA, JUL 17-19, 2013
Authors:  Deng Ding;  Qingjiang Meng;  Jiayu Zheng
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/13
Call-on-maximum Option  Gbm Model  Jump-diffusion Model  Put-on-minimum  Two-dimensional Modified Fourier Expansions  
An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions Journal article
International Journal of Computer Mathematics, 2013,Volume: 90,Issue: 5,Page: 1096-1113
Authors:  Qing-Jiang Meng;  Deng Ding
Favorite |  | TC[WOS]:6 TC[Scopus]:7 | Submit date:2019/05/22
Correlation Options  Gbm Model  Modified Sine-sine Expansions  Rainbow Options  Sv Model  Two-dimensional Fourier Expansions