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Oosterlee's COS method for European Option #127

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jaehyukchoi opened this issue May 4, 2022 · 0 comments

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jaehyukchoi commented May 4, 2022

Fang F, Oosterlee C (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J Sci Comput 31:826–848. https://doi.org/10.1137/080718061
Oosterlee CW, Grzelak LA (2019) Mathematical modeling and computation in finance: with exercises and python and matlab computer codes, 1st edn. World Scientific Publishing Co. Pte. Ltd, Hackensack

https://github.com/LechGrzelak/QuantFinanceBook

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