Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options

DOI10.1016/J.APNUM.2017.03.002zbMath1414.91409OpenAlexW2595728860MaRDI QIDQ2397063

Luis Ortiz-Gracia, Cornelis W. Oosterlee, Gemma Colldeforns-Papiol

Publication date: 29 May 2017

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/115444

zbMATH Keywords

option pricingLévy processEuropean optionsbasket optionsspread optionsShannon waveletscardinal sine functionFourier transform inversiontwo-colour rainbow options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (10)

Combined Fourier-wavelet transforms for studying dynamic response of anisotropic multi-layered flexible pavement with linear-gradual interlayers ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Computation of market risk measures with stochastic liquidity horizon ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series ⋮ High-order exponential spline method for pricing European options ⋮ Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility ⋮ A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models ⋮ Efficient pricing of European options on two underlying assets by frame duality

Uses Software

• Sinc-Pack
• BENCHOP

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• BENCHOP – The BENCHmarking project in option pricing
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
• Ten Lectures on Wavelets
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

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