Affine concatenation
Author:
Publisher
Wiley
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/wilj.13/fullpdf
Reference18 articles.
1. The Little Heston Trap.;Albrecher;Wilmott magazine,2007
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3. Option Valuation Using the Fast Fourier Transform;Carr;Journal of Computational Finance,1998
4. A Theory of the Term Structure of Interest Rates;Cox;Econometrica,1085
5. Numerical Inversion of a Characteristic Function;Davies;Biometrika,1973
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