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Fang Fang 0002

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affiliation: Delft University of Technology, Institute of Applied Mathematics, The Netherlands

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Journal Articles

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2011
[j4]
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  - journals/siamfm/FangO11
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Fang Fang, Cornelis W. Oosterlee:
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. SIAM J. Financial Math. 2(1): 439-463 (2011)
2009
[j3]
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Fang Fang, Cornelis W. Oosterlee:
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions. Numerische Mathematik 114(1): 27 (2009)
2008
[j2]
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R. Lord, Fang Fang, F. Bervoets, Cornelis W. Oosterlee:
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. SIAM J. Sci. Comput. 30(4): 1678-1705 (2008)
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Fang Fang, Cornelis W. Oosterlee:
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J. Sci. Comput. 31(2): 826-848 (2008)

Conference and Workshop Papers

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2007
[c1]
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R. Lord, Fang Fang, F. Bervoets, Cornelis W. Oosterlee:
A Fast Method for Pricing Early-Exercise Options with the FFT. International Conference on Computational Science (2) 2007: 415-422

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