Malliavin-Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms

Patrick Chang, Etienne Pienaar, Tim Gebbie. Malliavin-Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms. SIAM J. Scientific Computing, 42(6), 2020. [doi]

Authors

Patrick Chang

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Etienne Pienaar

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Tim Gebbie

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