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Luis Ortiz-Gracia, Cornelis W. Oosterlee. Robust Pricing of European Options with Wavelets and the Characteristic Function. SIAM J. Scientific Computing, 35(5), 2013. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European OptionsLuis Ortiz-Gracia, Cornelis W. Oosterlee. siamsc, 38(1), 2016. [doi]
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