Abate, J. and Whitt, W. (1992). The Fourier-series method for inverting transforms of probability distributions. Queueing Systems
Broadie, M. and Yamamoto, Y. (2003). Application of the fast Gauss transform to option pricing. Manag. Sci.
Cai, N. and Kou, S. G. (2011). Option pricing under a mixed-exponential Jump diffusion model. Manag. Sci.
Cai, N., Kou, S. G. and Liu, Z. (2013). A two-sided Laplace inversion algorithm with computable error bounds and its application in financial engineering. Electronic companion. Available at http://ihome.ust.hk/∼ningcai/index_IELM_1.html.
Cai, N., Peng, X. and Shi, C. (2013). Maximum-likelihood estimation via two-sided Laplace inversion with error control. Working paper.
Carr, P. and Madan, D. B. (1999). Option valuation using the fast Fourier transform. J. Computational Finance
Carr, P. and Madan, D. (2009). Saddlepoint methods for option pricing. J. Computational Finance
Feng, L. and Lin, X. (2013). Inverting analytic characteristic functions and financial applications. SIAM J. Financial Math. 4, 372–398.
Feng, L. and Linetsky, V. (2008). Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: a fast Hilbert transform approach. Math. Finance
Feng, L. and Linetsky, V. (2009). Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance Stoch. 13, 501–529.
Kou, S. G. and Wang, H. (2004). Option pricing under a double exponential Jump diffusion model. Manag. Sci.
Lee, R. W. (2004). Option pricing by transform methods: extensions, unification, and error control. J. Computational Finance
Olver, F. W. J. (1974). Asymptotics and Special Functions. Academic Press, New York.
Petrella, G. (2004). An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. Operat. Res. Lett.
Zygmund, A. (1968). Trigonometric Series, 2nd edn.
Cambridge University Press.