Robust Pricing of European Options with Wavelets and the Characteristic Function
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Publication:2870656
DOI10.1137/130907288zbMath1281.62227OpenAlexW2023483460MaRDI QIDQ2870656
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Publication date: 21 January 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/21609
Numerical computation using splines (65D07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Numerical methods for wavelets (65T60)
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