A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
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Publication:3464429
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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
- Financial Modelling with Jump Processes
- Robust pricing of European options with wavelets and the characteristic function
- Selected Topics in Characteristic Functions
- Sequential calibration of options
- Shannon wavelets theory
- Ten Lectures on Wavelets
- Two-dimensional Fourier cosine series expansion method for pricing financial options
Cited in
(29)- 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
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Topology-preserving scan-based immersed isogeometric analysis
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- A pseudospectral method for option pricing with transaction costs under exponential utility
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- The valuation of American options with the stochastic liquidity risk and jump risk
- The use of power numeraires in option pricing
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
- 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
- Robust pricing of European options with wavelets and the characteristic function
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
- Singular Fourier-Padé series expansion of European option prices
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Model-free computation of risk contributions in credit portfolios
- Wavelet-based option pricing: an empirical study
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Computation of market risk measures with stochastic liquidity horizon
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Calibration and simulation of Heston model
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
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