Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
DOI10.1016/J.APNUM.2017.03.002zbMATH Open1414.91409OpenAlexW2595728860MaRDI QIDQ2397063FDOQ2397063
Authors: Luis Ortiz-Gracia, Gemma Colldeforns-Papiol, Cornelis W. Oosterlee 
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
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European optionsoption pricingbasket optionsspread optionsShannon waveletscardinal sine functionFourier transform inversiontwo-colour rainbow optionsLévy process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- BENCHOP – The BENCHmarking project in option pricing
- Handbook of Sinc numerical methods. With CD-ROM.
- A wavelet tour of signal processing. The sparse way.
- Ten Lectures on Wavelets
- A novel pricing method for European options based on Fourier-cosine series expansions
- Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
- Robust pricing of European options with wavelets and the characteristic function
- Title not available (Why is that?)
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
Cited In (11)
- Combined Fourier-wavelet transforms for studying dynamic response of anisotropic multi-layered flexible pavement with linear-gradual interlayers
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- 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
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
- High-order exponential spline method for pricing European options
- Computation of market risk measures with stochastic liquidity horizon
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Uses Software
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