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Fang Fang

Affiliations:
  • Delft University of Technology, Institute of Applied Mathematics, The Netherlands


According to our database1, Fang Fang authored at least 5 papers between 2007 and 2011.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

On csauthors.net:

Bibliography

2011
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model.
[BibTeX]
[DOI]
Fang Fang
,
Cornelis W. Oosterlee
SIAM J. Financial Math., 2011

2009
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions.
[BibTeX]
[DOI]
Fang Fang
,
Cornelis W. Oosterlee
Numerische Mathematik, 2009

2008
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes.
[BibTeX]
[DOI]
R. Lord
,
Fang Fang
,
F. Bervoets
,
Cornelis W. Oosterlee
SIAM J. Sci. Comput., 2008

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions.
[BibTeX]
[DOI]
Fang Fang
,
Cornelis W. Oosterlee
SIAM J. Sci. Comput., 2008

2007
A Fast Method for Pricing Early-Exercise Options with the FFT.
[BibTeX]
[DOI]
R. Lord
,
Fang Fang
,
F. Bervoets
,
Cornelis W. Oosterlee
Proceedings of the Computational Science - ICCS 2007, 7th International Conference, Beijing, China, May 27, 2007


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