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An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
Journal article
Qing-Jiang Meng, Deng Ding. An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions[J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2013, 90(5), 1096-1113.
Authors:
Qing-Jiang Meng
;
Deng Ding
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Submit date：2019/05/22
Two-dimensional Fourier Expansions
Modified Sine-sine Expansions
Rainbow Options
Correlation Options
Gbm Model
Sv Model
