Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
نویسندگان
چکیده
منابع مشابه
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
In the search for robust, accurate, and highly efficient financial option valuation techniques, we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper s...
متن کاملDelft University of Technology A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
In the search for robust, accurate, and highly efficient financial option valuation techniques, we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper s...
متن کاملA Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options | SIAM Journal on Scientific Computing | Vol. 38, No. 1 | Society for Industrial and Applied Mathematics
In the search for robust, accurate, and highly efficient financial option valuation techniques, we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper s...
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We consider European options pricing with double jumps and stochastic volatility. We derived closed-form solutions for European call options in a double exponential jump-diffusion model with stochastic volatility SVDEJD . We developed fast and accurate numerical solutions by using fast Fourier transform FFT technique. We compared the density of our model with those of other models, including th...
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The COS method for pricing European and Bermudan options with one underlying asset was developed in [F. Fang, C. W. Oosterlee, 2008] and [F. Fang, C. W. Oosterlee, 2009]. In this paper, we extend the method to higher dimensions, with a multi-dimensional asset price process. The algorithm can be applied to, for example, pricing two-color rainbow options, but also to pricing under the popular Hes...
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ژورنال
عنوان ژورنال: Applied Numerical Mathematics
سال: 2017
ISSN: 0168-9274
DOI: 10.1016/j.apnum.2017.03.002