SSRN Electronic Journal · 2013 · 22 citations · 21 references
BusinessFinanceAsset PricingFinancial EconomicsTime Series AnalysisAsset Pricing TheoryFourier AnalysisFourier Series MethodsOption PricingOption Pricing ModelsSpectral AnalysisConvergenceDecay Of Fourier CoefficientsFourier Series AnalysisFourier Series ConvergenceGibbs PhenomenonOption Pricing AlgorithmsSpectral FilteringVariance Gamma Processes
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Transform Analysis and Asset Pricing for Affine Jump-diffusions
Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations
Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations
The Variance Gamma Process and Option Pricing
Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations
On the Gibbs Phenomenon and Its Resolution
David Gottlieb, Chi‐Wang Shu · SIAM Review · 1997 · 846 citations