Efficient Option Pricing Methods Based on Fourier Series Expansions
Received:November 11, 2009  Revised:January 19, 2010
Key Words: option pricing   L\'evy process   Fourier transform   Fourier expansions.  
Fund Project:Supported by the Research Grant of University of Macau (Grants Nos.UL020/08-Y3/MAT/JXQ01/FST; RG058/09-10S/DD/FST).
Author NameAffiliation
Deng DING Department of Mathematics, University of Macau, Macao, P. R. China 
Sio Chong U Department of Mathematics, University of Macau, Macao, P. R. China 
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Abstract:
      
Citation:
DOI:10.3770/j.issn:1000-341X.2011.01.002
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