"Precise option pricing by the COS method - How to choose the truncation range."

Gero Junike, Konstantin Pankrashkin (2022)

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DOI: 10.1016/J.AMC.2022.126935

access: open

type: Journal Article

metadata version: 2023-09-30

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Gero Junike, Konstantin Pankrashkin:
Precise option pricing by the COS method - How to choose the truncation range. Appl. Math. Comput. 421: 126935 (2022)

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