A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

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Publication:1633313

DOI10.1016/j.apnum.2018.09.013zbMath1419.91645OpenAlexW2894913264WikidataQ129166036 ScholiaQ129166036MaRDI QIDQ1633313

Luis Ortiz-Gracia, Edouard Berthe, Duy Minh Dang

Publication date: 19 December 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/127591




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