A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
Fang, Fang, Oosterlee, Cornelis W.Volume:
2
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/100794158
Date:
January, 2011
File:
PDF, 384 KB
english, 2011