SIAMSC
2008
13 years 4 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
13 years 5 months 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...