dc.contributor.author
Ortiz-Gracia, L.
dc.contributor.author
Oosterlee, C.W.
dc.date.accessioned
2020-10-08T12:54:22Z
dc.date.accessioned
2024-09-19T13:16:09Z
dc.date.available
2020-10-08T12:54:22Z
dc.date.available
2024-09-19T13:16:09Z
dc.date.issued
2015-01-01
dc.identifier.uri
http://hdl.handle.net/2072/377498
dc.description.abstract
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 confirm the bounds, robustness and efficiency.
eng
dc.format.extent
26 p.
cat
dc.relation.ispartof
CRM Preprints
cat
dc.rights
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons:http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Matemàtiques
cat
dc.title
A highly efficient Shannon Wavelet Inverse Fourier Technique for pricing European options
cat
dc.type
info:eu-repo/semantics/preprint
cat
dc.rights.accessLevel
info:eu-repo/semantics/openAccess
