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A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
9 references·2 citing·31 second hop
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this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
  • 2014Efficient Option Pricing by Frame Duality with the Fast Fourier Transform87 cited

Cited by

  • 2017Calibration and simulation of Heston model35 cited
  • 2016On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options27 cited

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