A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Luis Ortiz-Gracia, Cornelis W. Oosterlee. A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options. SIAM J. Scientific Computing, 38(1), 2016. [doi]

Authors

Luis Ortiz-Gracia

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Cornelis W. Oosterlee

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