Search Results - subject:"Fourier-cosine method"

Technical note: production management with general demands and lost sales

Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung - In: Operations research 72 (2024) 5, pp. 1751-1764

Persistent link: https://www.econbiz.de/10015361726

A Fourier-cosine method for finite-time ruin probabilities

Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; … - In: Insurance / Mathematics & economics 99 (2021), pp. 256-267

Persistent link: https://www.econbiz.de/10012649221

Fourier-cosine method for Gerber–Shiu functions

Chau, K.W.; Yam, S.C.P.; Yang, H. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 170-180

hardly touched topic in the current literature, by incorporating the recently popular Fourier-cosine method. Fourier-cosine … method has been a prevailing numerical method in option pricing theory since the work of Fang and Oosterlee (2009). Our …

Persistent link: https://www.econbiz.de/10011263840

Fourier-cosine method for Gerber-Shiu functions

Chau, K. W.; Yam, Sheung Chi Phillip; Yang, H. - In: Insurance / Mathematics & economics 61 (2015), pp. 170-180

Persistent link: https://www.econbiz.de/10010515895