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A novel pricing method for European options based on Fourier-cosine series expansions. (English) Zbl 1186.91214

MSC:
91G60 Numerical methods (including Monte Carlo methods)
65T40 Numerical methods for trigonometric approximation and interpolation
42A10 Trigonometric approximation
60E10 Characteristic functions; other transforms
62P05 Applications of statistics to actuarial sciences and financial mathematics
91G20 Derivative securities (option pricing, hedging, etc.)
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