Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063)
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scientific article; zbMATH DE number 6723655
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| English | Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options |
scientific article; zbMATH DE number 6723655 |
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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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