| A novel pricing method for European options based on Fourier-cosine series expansions F Fang, CW Oosterlee SIAM Journal on Scientific Computing 31 (2), 826-848, 2008 | 838 | 2008 |
| Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions F Fang, CW Oosterlee Numerische Mathematik 114 (1), 27-62, 2009 | 314 | 2009 |
| A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes R Lord, F Fang, F Bervoets, CW Oosterlee SIAM Journal on Scientific Computing 30 (4), 1678-1705, 2008 | 311 | 2008 |
| A Fourier-based valuation method for Bermudan and barrier options under Heston's model F Fang, CW Oosterlee SIAM Journal on Financial Mathematics 2 (1), 439-463, 2011 | 154 | 2011 |
| Fast valuation and calibration of credit default swaps under Lévy dynamics F Fang, H Jönsson, CW Oosterlee, W Schoutens J. Comp. Finance, 14(2) 14 (2), 10.21314/JCF.2010.209, 2010 | 50 | 2010 |
| The COS method: An efficient Fourier method for pricing financial derivatives F Fang Delft University of Technology, Faculty of Electrical Engineering …, 2010 | 21 | 2010 |
| A fast method for pricing early-exercise options with the FFT R Lord, F Fang, F Bervoets, CW Oosterlee Computational Science–ICCS 2007: 7th International Conference, Beijing …, 2007 | 7 | 2007 |
| Pricing options under stochastic volatility with fourier-cosine series expansions F Fang, CW Oosterlee Progress in Industrial Mathematics at ECMI 2008, 833-838, 2010 | 3 | 2010 |
| The CONV method for pricing options R Lord, F Fang, F Bervoets, CW Oosterlee PAMM: Proceedings in Applied Mathematics and Mechanics 7 (1), 1024003-1024004, 2007 | 3 | 2007 |
| Characteristic function of the hybrid Heston–Hull–White model F Fang, B Janssens European Study Group Mathematics with Industry, 107, 2007 | 3 | 2007 |
| The COS method in pricing Bermudan and barrier options under Hestonqs model F Fang, CW Oosterlee Conference on Numerical Methods in Finance, 2009a. URL http://cermics. enpc …, 2009 | 2 | 2009 |
| Pricing Bermudan and American Options Using the FFT Method F Fang, IK Oosterlee, U Ruede Diploma thesis, Universität Erlangen-Nuernberg, 2006 | 2 | 2006 |
| Fast and accurate methods in pricing early exercise options under Lévy processes F Fang, R Lord, CW Oosterlee Workshop on financial modelling with jump processes. Ecole Polytechnique, 2006 | 2 | 2006 |
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
