Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063)

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Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
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    Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (English)
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    29 May 2017
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    option pricing
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    European options
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    two-colour rainbow options
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    basket options
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    spread options
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    Lévy process
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    Shannon wavelets
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    cardinal sine function
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    Fourier transform inversion
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