NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE

By Peter Den Iseger. Probability in the engineering and informational sciences (Print), 2005

191 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c3befc86b52a8ce31d47fec252cf4d4c3346429d

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Citations in the corpus

• Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, methodology): “As shown by Iseger (2006) it is possible to choose the damping parameter a and a truncation rank M2 to attain any desired level of truncation error.”