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Fourier pricing of two-asset options: a comparison of methods
Fourier methods form an integral part in the universe of option pricing due to their speed, accuracy and diversity of use. Two types of methods that are extensively used are fast Fourier transform (FFT) methods and the Fourier-cosine series expansion (COS) method. Since its introduction the COS meth...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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