"The COS method for option valuation under the SABR dynamics."

Z. van der Have, Cornelis W. Oosterlee (2018)

> Home

Details and statistics

DOI: 10.1080/00207160.2017.1290438

access: open

type: Journal Article

metadata version: 2023-05-31

- view
  - electronic edition via DOI (open access)
  authority control:
- export record
  dblp key:
  - journals/ijcm/HaveO18
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/ijcm/HaveO18
Z. van der Have, Cornelis W. Oosterlee:
The COS method for option valuation under the SABR dynamics. Int. J. Comput. Math. 95(2): 444-464 (2018)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.