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Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Deng Ding, Qingjiang Meng, Jiayu Zheng. Efficient rainbow options pricing methods based on two-dimensional fourier series expansions[C]. Kunming Univ Sci & Technol; Yunnan Soc Theoret & Appl Mech, SWITZERLAND:TRANS TECH PUBLICATIONS LTD, LAUBLSRUTISTR 24, CH-8717 STAFA-ZURICH, SWITZERLAND, 2013, 692-697.
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