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 were unable to process your request. Please try again later. If you continue to have this issue please contact [email protected]. What is the difference between the Zernike and Fourier ...

The topics of orthogonality and Fourier series occupy a central position in analysis. Nevertheless, there is surprisingly little statistical literature, with the exception of that of time series and ...

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 ...