In this article, we derive a series expansion of the multivariate normal probability integrals based on Fourier series. The basic idea is to transform the limits of each integral from hi to ∞ to be ...
The aim of this paper is to show the benefit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multiasset spread options. The approach consists of ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results