Singular Fourier-Padé Series Expansion of European Option Prices
Article
Chan, R. 2018. Singular Fourier-Padé Series Expansion of European Option Prices. Quantitative Finance. 18 (7), pp. 1149-1171. https://doi.org/10.1080/14697688.2017.1414952
Authors | Chan, R. |
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Abstract | We apply a new numerical method, the singular Fourier-Pad ́e (SFP) method invented by Driscoll and |
Journal | Quantitative Finance |
Journal citation | 18 (7), pp. 1149-1171 |
ISSN | 1469-7688 |
Year | 2018 |
Publisher | Taylor & Francis |
Accepted author manuscript | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/14697688.2017.1414952 |
Web address (URL) | https://doi.org/10.1080/14697688.2017.1414952 |
Publication dates | |
Online | 23 Jan 2018 |
Publication process dates | |
Deposited | 07 Dec 2017 |
Accepted | 06 Dec 2017 |
Accepted | 06 Dec 2017 |
Copyright information | This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 23/01/2018, available online: http://www.tandfonline.com/10.1080/14697688.2017.1414952 |
License | All rights reserved (under embargo) |
https://repository.uel.ac.uk/item/84918
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