Robust pricing of European options with wavelets and the characteristic function
DOI10.1137/130907288zbMATH Open1281.62227OpenAlexW2023483460MaRDI QIDQ2870656FDOQ2870656
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Publication date: 21 January 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/21609
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical computation using splines (65D07) Statistical methods; risk measures (91G70) Numerical methods for wavelets (65T60)
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- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Closed-form option pricing for exponential Lévy models: a residue approach
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- The COS method for option valuation under the SABR dynamics
- The valuation of American options with the stochastic liquidity risk and jump risk
- Singular Fourier–Padé series expansion of European option prices
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- Peaks and jumps reconstruction with \(B\)-splines scaling functions
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Efficient wavelets-based valuation of synthetic CDO tranches
- Precise option pricing by the COS method -- how to choose the truncation range
- An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
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