A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
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Publication:3464429
DOI10.1137/15M1014164zbMATH Open1330.91184OpenAlexW1823856401MaRDI QIDQ3464429FDOQ3464429
Authors: Luis Ortiz-Gracia, Cornelis W. Oosterlee 
Publication date: 27 January 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1014164
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60)
Cites Work
- Financial Modelling with Jump Processes
- 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
- Selected Topics in Characteristic Functions
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Robust pricing of European options with wavelets and the characteristic function
- Shannon wavelets theory
- Sequential calibration of options
Cited In (29)
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- The use of power numeraires in option pricing
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Efficient pricing of European options on two underlying assets by frame duality
- Calibration and simulation of Heston model
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- 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
- The valuation of American options with the stochastic liquidity risk and jump risk
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Computation of market risk measures with stochastic liquidity horizon
- Topology-preserving scan-based immersed isogeometric analysis
- A pseudospectral method for option pricing with transaction costs under exponential utility
- Wavelet-based option pricing: an empirical study
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Robust pricing of European options with wavelets and the characteristic function
- A rational approximation of the sinc function based on sampling and the Fourier transforms
- Precise option pricing by the COS method -- how to choose the truncation range
- Singular Fourier-Padé series expansion of European option prices
- Model-free computation of risk contributions in credit portfolios
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