The aim of this paper is to show the benefit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multiasset spread options. The approach consists of ...

In this article, we derive a series expansion of the multivariate normal probability integrals based on Fourier series. The basic idea is to transform the limits of each integral from hi to ∞ to be ...

We present the main mathematical analysis and tools needed to finally cap a successful filter design. First we should recall our hazy ‘Fourier Series’ high school class. Fourier analysis is often ...