TY - JOUR
T1 - A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
AU - Ortiz-Gracia, Luis
AU - Oosterlee, Cornelis W.
PY - 2016/1/26
Y1 - 2016/1/26
N2 - In the search for robust, accurate, and highly efficient financial option valuation techniques, we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper size of the computational interval. Numerical experiments on European-style options show exponential convergence and confirm the bounds, robustness, and efficiency.
AB - In the search for robust, accurate, and highly efficient financial option valuation techniques, we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper size of the computational interval. Numerical experiments on European-style options show exponential convergence and confirm the bounds, robustness, and efficiency.
KW - European options
KW - Fourier transform inversion
KW - Option pricing
KW - Shannon wavelets
KW - Sinus cardinal function
UR - http://www.scopus.com/inward/record.url?scp=84960116785&partnerID=8YFLogxK
UR - http://resolver.tudelft.nl/uuid://c4f730cf-4e78-45c1-8a93-35d78231144e
U2 - 10.1137/15M1014164
DO - 10.1137/15M1014164
M3 - Article
AN - SCOPUS:84960116785
SN - 1064-8275
VL - 38
SP - B118-B143
JO - SIAM Journal on Scientific Computing
JF - SIAM Journal on Scientific Computing
IS - 1
ER -