APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION

Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

(2016) David C.M. Dickson   Astin Bulletin

Fourier-cosine method for ruin probabilities

(2015) K.W. Chau et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Distribution of the Time to Ruin in some Sparre Andersen Risk Models

(2014) Tianxiang Shi et al.   Astin Bulletin

The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes

(2014) Wing Yan Lee et al.   Scandinavian Actuarial Journal

Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

(2013) B. Zhang et al.   APPLIED NUMERICAL MATHEMATICS

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

(2013) B. Zhang et al.   SIAM Journal on Financial Mathematics

An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions

(2012) Qing-Jiang Meng et al.   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

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

(2012) M. J. Ruijter et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

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

(2009) F. Fang et al.   NUMERISCHE MATHEMATIK