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M. J. Ruijter · Study

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M. J. Ruijter

5 works· latest 2015· 1 institutionscluster: provisional

h-index5

i105

Citations356

Works here5

12

14

15

Most cited in this library

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options2012 · 124 citations
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs2015 · 80 citations
BENCHOP – The BENCHmarking project in option pricing2015 · 64 citations
On the application of spectral filters in a Fourier option pricing technique2015 · 51 citations
Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance2014 · 37 citations

Works

5 shown

On the application of spectral filters in a Fourier option pricing technique

The Journal of Computational Finance·2015·3 authors·Open access

51citations

BENCHOP – The BENCHmarking project in option pricing

International Journal of Computer Mathematics·2015·17 authors·Open access

64citations

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

SIAM Journal on Scientific Computing·2015·2 authors·Open access

80citations

Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance

Applied Numerical Mathematics·2014·2 authors·Open access

37citations

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

SIAM Journal on Scientific Computing·2012·2 authors·Open access

124citations