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Munich Personal RePEc Archive

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Number of items: 7.

28 February 2007

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.

10 March 2008

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

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

June 2008

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

17 February 2009

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

27 January 2010

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

1 June 2010

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

This list was generated on Tue Oct 4 21:31:30 2022 CEST.
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