A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
From MaRDI portal
Publication:3464429
DOI10.1137/15M1014164zbMath1330.91184OpenAlexW1823856401MaRDI QIDQ3464429
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Calibration and simulation of Heston model ⋮ Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Topology-preserving scan-based immersed isogeometric analysis ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Computation of market risk measures with stochastic liquidity horizon ⋮ Singular Fourier–Padé series expansion of European option prices ⋮ Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ Pricing early-exercise and discrete barrier options by Shannon wavelet expansions ⋮ A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate ⋮ Model-free computation of risk contributions in credit portfolios ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series ⋮ An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes ⋮ 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 ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations ⋮ Wavelet-based option pricing: an empirical study ⋮ Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility ⋮ Pricing European and American options under Heston model using discontinuous Galerkin finite elements ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ A rational approximation of the sinc function based on sampling and the Fourier transforms ⋮ Efficient pricing of European options on two underlying assets by frame duality ⋮ Precise option pricing by the COS method -- how to choose the truncation range ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
Cites Work
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Shannon wavelets theory
- Sequential calibration of options
- Robust Pricing of European Options with Wavelets and the Characteristic Function
- Ten Lectures on Wavelets
- Financial Modelling with Jump Processes
- Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
- Selected Topics in Characteristic Functions
