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ε-monotone Fourier methods for optimal stochastic control in finance

Stochastic control problems in finance often involve complex controls at discrete times. As a result, numerically solving such problems using, for example, methods based on partial differential or ...
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Equivalence of Nyström's Method and Fourier Methods for the Numerical Solution of Fredholm Integral Equations

Nyström's method with the trapezoidal rule, and the Fourier method, produce the same approximation to the solution of an integral equation at the collocation points ...
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Error analysis in Fourier methods for option pricing

We provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic. The price ...
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MULTIVARIATE FOURIER SERIES OVER A CLASS OF NON TENSOR-PRODUCT PARTITION DOMAINS

Journal of Computational Mathematics, Vol. 21, No. 1, SPECIAL ISSUE DEDICATED TO THE 80TH BIRTHDAY OF PROFESSOR ZHOU YULIN (JANUARY 2003), pp. 53-62 (10 pages) This paper finds a way to extend the ...