Robust pricing of European options with wavelets and the characteristic function

L Ortiz-Gracia, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	1-30
Number of pages	30
Journal	SIAM Journal on Scientific Computing
Volume	35
Issue number	5
Publication status	Published - 2013

Keywords

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title = "Robust pricing of European options with wavelets and the characteristic function",

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author = "L Ortiz-Gracia and CW Oosterlee",

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T1 - Robust pricing of European options with wavelets and the characteristic function

AU - Ortiz-Gracia, L

AU - Oosterlee, CW

PY - 2013

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KW - CWTS 0.75 <= JFIS < 2.00

UR - http://oai.cwi.nl/oai/asset/21609/21609D.pdf

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JO - SIAM Journal on Scientific Computing

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