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Fang, F. and Oosterlee, C.W. (2010) A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston Model. SIAM Journal on Financial Mathematics, 2, 439-463.
https://doi.org/10.1137/100794158

has been cited by the following article:

• TITLE: Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives

  AUTHORS: Ludovic Goudenège, Andrea Molent, Xiao Wei, Antonino Zanette

  KEYWORDS: Fourier-Cosine, Pricing, Hedging, Insurance, Derivatives

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.3, February 9, 2018

  ABSTRACT: We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular problem of variable annuities under the Black-Scholes model for the investment account. The numerical results show the reliability of the Fourier-Cosine method for pricing and hedging insurance derivatives.