Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

DOI10.1007/s00211-016-0858-2zbMath1378.91124OpenAlexW3125278781MaRDI QIDQ2407470

Luis Ortiz-Gracia, S. C. Maree, Cornelis W. Oosterlee

Publication date: 29 September 2017

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/25355

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

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Uses Software

• Sinc-Pack

Cites Work

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