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

zbMATH Keywords

European optionsoption pricingbasket optionsspread optionsShannon waveletscardinal sine functionFourier transform inversiontwo-colour rainbow optionsLévy process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 515884 (Why is no real title available?)
• A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
• A novel pricing method for European options based on Fourier-cosine series expansions
• A wavelet tour of signal processing. The sparse way.
• BENCHOP -- the benchmarking project in option pricing
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Handbook of Sinc numerical methods. With CD-ROM.
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• Robust pricing of European options with wavelets and the characteristic function
• Ten Lectures on Wavelets
• Two-dimensional Fourier cosine series expansion method for pricing financial options

Cited in

(14)

• 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
• Efficient pricing of European options on two underlying assets by frame duality
• 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
• A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
• Combined Fourier-wavelet transforms for studying dynamic response of anisotropic multi-layered flexible pavement with linear-gradual interlayers
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• Application of SWR algorithm in option pricing
• Computation of market risk measures with stochastic liquidity horizon
• High-order exponential spline method for pricing European options
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
• An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions

Describes a project that uses

Uses Software

• Sinc-Pack
• BENCHOP

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