A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options (Q3464429): Difference between revisions

@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Shannon wavelets theory
@@ Property / cites work: Shannon wavelets theory / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Ten Lectures on Wavelets
@@ Property / cites work: Ten Lectures on Wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Sequential calibration of options
@@ Property / cites work: Sequential calibration of options / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Pricing of European Options with Wavelets and the Characteristic Function
+Normal rank
@@ Property / cites work @@
+Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
+Normal rank
@@ Property / cites work @@
+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
+Normal rank
@@ Property / cites work @@
+Selected Topics in Characteristic Functions
@@ Property / cites work: Selected Topics in Characteristic Functions / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1137/15m1014164
+Normal rank
@@ Property / OpenAlex ID @@
+W1823856401
@@ Property / OpenAlex ID: W1823856401 / rank @@
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