The COS method for option valuation under the SABR dynamics

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The COS method for option valuation under the SABR dynamics

van der Have, Z., Oosterlee, C.W.
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Language:
english
Journal:
International Journal of Computer Mathematics
DOI:
10.1080/00207160.2017.1290438
Date:
February, 2017
File:
PDF, 2.20 MB
english, 2017
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