Robust pricing of European options with wavelets and the characteristic function

Journal Article (2013)

Author(s)

L Ortiz-Gracia (External organisation)

Kees Oosterlee (TU Delft - Numerical Analysis)

Research Group

Numerical Analysis

CWTS 0.75 <= JFIS < 2.00 Academic journal papers

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Publication Year

2013

Language

English

Research Group

Numerical Analysis

Issue number

5

Volume number

35

Pages (from-to)

1-30

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