The following publications are possibly variants of this publication:
- Robust Pricing of European Options with Wavelets and the Characteristic FunctionLuis Ortiz-Gracia, Cornelis W. Oosterlee. siamsc, 35(5), 2013. [doi]
- Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine ExpansionsBowen Zhang, Cornelis W. Oosterlee. siamfm, 4(1):399-426, 2013. [doi]
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansionsS. C. Maree, Luis Ortiz-Gracia, C. W. Oosterlee. nm, 136(4):1035-1070, 2017. [doi]
- A Dimension Reduction Shannon-Wavelet Based Method for Option PricingDuy Minh Dang, Luis Ortiz-Gracia. jscic, 75(2):733-761, 2018. [doi]
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series ExpansionsF. Fang, Cornelis W. Oosterlee. siamsc, 31(2):826-848, 2008. [doi]