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Published 20 hours ago • verified publisher icon PyFE

Oosterlee's COS method for European Option

Open jaehyukchoi opened this issue 2 years ago • 0 comments

  • Fang F, Oosterlee C (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J Sci Comput 31:826–848. https://doi.org/10.1137/080718061

  • Oosterlee CW, Grzelak LA (2019) Mathematical modeling and computation in finance: with exercises and python and matlab computer codes, 1st edn. World Scientific Publishing Co. Pte. Ltd, Hackensack

https://github.com/LechGrzelak/QuantFinanceBook

jaehyukchoi avatar May 04 '22 12:05 jaehyukchoi