Robust pricing of European options with wavelets and the characteristic function

L Ortiz-Gracia, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

41 Citations (Scopus)
Original languageEnglish
Pages (from-to)1-30
Number of pages30
JournalSIAM Journal on Scientific Computing
Volume35
Issue number5
Publication statusPublished - 2013

Keywords

  • academic journal papers
  • CWTS 0.75 <= JFIS < 2.00

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