Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

Pricing high-dimensional Bermudan options using the stochastic grid method

(2012) Shashi Jain et al.   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process

(2011) B. Zhang et al.   APPLIED NUMERICAL MATHEMATICS

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

(2011) Fang Fang et al.   SIAM Journal on Financial Mathematics

COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

(2010) Roger Lord et al.   MATHEMATICAL FINANCE

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

(2009) F. Fang et al.   NUMERISCHE MATHEMATIK

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

(2008) F. Fang et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Numerical solution of two asset jump diffusion models for option valuation

(2007) Simon S. Clift et al.   APPLIED NUMERICAL MATHEMATICS

On coordinate transformation and grid stretching for sparse grid pricing of basket options

(2007) C.C.W. Leentvaar et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS