Precise option pricing by the COS method—How to choose the truncation range

Performance of advanced stock price models when it becomes exotic: an empirical study

(2021) Gero Junike et al.   Annals of Finance

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

(2016) Luis Ortiz-Gracia et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Robust Pricing of European Options with Wavelets and the Characteristic Function

(2013) Luis Ortiz-Gracia et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

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

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

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

On the Heston Model with Stochastic Interest Rates

(2011) Lech A. Grzelak et al.   SIAM Journal on Financial 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

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

On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes

(2008) J.M.P. Albin et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS