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International Journal of Computer Mathematics Volume 95, 2018 - Issue 2
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Original Articles

The COS method for option valuation under the SABR dynamics

Z. van der HaveDelft University of Technology, Delft Institute of Applied Mathematics, Delft, Netherlands;Centrum Wiskunde & Informatica, Amsterdam, NetherlandsCorrespondence[email protected]
&
C. W. OosterleeDelft University of Technology, Delft Institute of Applied Mathematics, Delft, Netherlands;Centrum Wiskunde & Informatica, Amsterdam, Netherlands
Pages 444-464 | Received 24 Feb 2016, Accepted 28 Sep 2016, Published online: 28 Feb 2017

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