Pricing and Hedging Multi-Asset Spread Options by a Three-Dimensional Fourier Cosine Series Expansion Method

2014 ◽  
Author(s):  
Tommaso Pellegrino ◽  
Piergiacomo Sabino
Keyword(s):  
Series Expansion ◽  
Three Dimensional ◽  
Expansion Method ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Spread Options ◽  
Fourier Cosine Series ◽  
Series Expansion Method

scholarly journals Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1402
Author(s):  
Wen Su ◽  
Yunyun Wang
Keyword(s):  
Series Expansion ◽  
Risk Model ◽  
Insurance Risk ◽  
Transform Method ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Surplus Process ◽  
Fourier Cosine Series ◽  
The Fourier Transform ◽  
Better Than

In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency. The estimator is constructed based on the Fourier–Cosine series expansion and its consistency property is thoroughly studied. Simulation examples reveal that our estimator performs better than the Fourier transform method estimator when the sample size is finite.

A Method for Aerodynamic Design of Blades in Quasi-Three-Dimensional Calculation of Turbomachines

1988 ◽  
Vol 110 (2) ◽  
pp. 181-186 ◽  
Author(s):  
Zhengming Wang
Keyword(s):  
Inverse Problem ◽  
Turbine Blade ◽  
Series Expansion ◽  
Thickness Distribution ◽  
Three Dimensional ◽  
Expansion Method ◽  
Aerodynamic Design ◽  
Blade Profile ◽  
The Mean ◽  
Series Expansion Method

A special inverse problem is formulated in which the shape of the mean streamline and the circumferential thickness distribution of the profile are given. On the basis of the series expansion method on a selected streamline, in quasi-three-dimensional aerodynamic design, the blade profile thickness is automatically fulfilled by computer. Six radial sections of a turbine blade are designed by this method.

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