A Fourier cosine expansion method for pricing FX-TARN under Lévy processes

Kevin Z. Tong

Year of publication:	2023
Authors:	Tong, Kevin Z.
Published in:	Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 7.2023, 2, p. 261-286
Subject:	TARN \| Fourier cosine expansion \| Lévy process \| quadrature \| FFT \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory

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