Foundations of Computing and Decision Sciences > 2018 > Vol. 43, No. 3 > 207--217
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journal ISSN : | 0867-6356 |
DOI | 10.1515/fcds-2018-0011 |
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Bibliography
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[1] Ackerer D. and Filipovic D. (2017), ’Option Pricing with Orthogonal Polynomial Expansions’, Swiss Finance Institute Research Paper No. 17-41.
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[2] Carr P. and Madan D. (1999), Option valuation using the fast Fourier transform’, New York, NY: John Wiley & Sons.
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[3] Glasserman P. (2003), Monte Carlo Methods in Financial Engineering’, Springer Science and Business Media New York.