SIAMSC
2008
13 years 11 months ago
2008
Here we develop an option pricing method for European options based on the Fourier-cosine series, and call it the COS method. The key insight is in the close relation of the charac...
ECAI
2010
Springer
14 years 16 days ago
2010
Springer
Abstract. In this paper we introduce a new option pricing mechanism for reducing the exposure problem encountered by bidding agents with complementary valuations when participating...