Munich Personal RePEc Archive

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Group by: Date | Item ID
Jump to: 1952 | 8914 | 9248 | 9319 | 20574 | 23020 | 24174
Number of items: 7.

1952

Lord, Roger and Fang, Fang and Bervoets, Frank and Oosterlee, Kees (2007): A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes.

8914

Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.

9248

Fang, Fang and Oosterlee, Kees (2008): Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions.

9319

Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.

20574

Grzelak, Lech and Oosterlee, Kees (2010): An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile.

23020

Grzelak, Lech and Oosterlee, Kees (2010): On cross-currency models with stochastic volatility and correlated interest rates.

24174

Grzelak, Lech and Oosterlee, Kees (2009): On The Heston Model with Stochastic Interest Rates.

This list was generated on Thu May 28 07:33:48 2020 CEST.
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