Fang Fang

Delft University of Technology

Stevinweg 1

Stevinweg 1

Delft, 2628 CN

Netherlands

  • Delft University of Technology

SCHOLARLY PAPERS

2

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4

Scholarly Papers (2)

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1.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Roger Lord, Fang Fang, Frank Bervoets and Cornelis W. Oosterlee
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 985 (26,064)
Citation 11

Abstract:

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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

2.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
Fang Fang, Henrik Jönsson, Cornelis W. Oosterlee and Wim Schoutens
Delft University of Technology, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Center for Mathematics and Computer Science (CWI) and KU Leuven - Department of Mathematics
Downloads 157 (215,983)
Citation 4

Abstract:

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Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion