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Maree, S.C., Ortiz-Gracia, L. and Oosterlee, C.W. (2018) Fourier and Wavelet Option Pricing Methods. In: Dempster, M.A.H., Kanniainen, J., Keane, J. and Vynckier, E., Eds., High-Performance Computing in Finance, Problems, Methods, and Solutions, Chapman and Hall/CRC, Boca Raton, 249-272.
https://doi.org/10.1201/9781315372006-8
has been cited by the following article:
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TITLE:
A Rational Approximation of the Fourier Transform by Integration with Exponential Decay Multiplier
AUTHORS:
Sanjar M. Abrarov, Rehan Siddiqui, Rajinder K. Jagpal, Brendan M. Quine
KEYWORDS:
Rational Approximation, Fourier Transform, Sampling, Sinc Function
JOURNAL NAME:
Applied Mathematics,
Vol.12 No.11,
November
18,
2021
ABSTRACT: Recently we have reported a new method of rational approximation of the sinc function obtained by sampling and the Fourier transforms. However, this method requires a trigonometric multiplier that originates from the shifting property of the Fourier transform. In this work, we show how to represent the Fourier transform of a function f(t) in form of a ratio of two polynomials without any trigonometric multiplier. A MATLAB code showing algorithmic implementation of the proposed method for rational approximation of the Fourier transform is presented.