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2013 [1]
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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: ; et al.
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Submit date：2019/02/13
Call-on-maximum Option
Gbm Model
Jump-diffusion Model
Put-on-minimum
Two-dimensional Modified Fourier Expansions
