dc.contributor.author
Ortiz-Gracia, L.
dc.contributor.author
Oosterlee, C.W.
dc.date.accessioned
2021-03-19T08:44:19Z
dc.date.accessioned
2024-09-19T14:28:32Z
dc.date.available
2021-03-19T08:44:19Z
dc.date.available
2024-09-19T14:28:32Z
dc.date.created
2017-01-01
dc.date.issued
2017-01-01
dc.identifier.uri
http://hdl.handle.net/2072/446109
dc.description.abstract
In the search for robust, accurate and highly efficient financial option valuation techniques, we present here 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. © Springer International Publishing AG 2017.
eng
dc.format.extent
5 p.
cat
dc.publisher
Springer International Publishing
cat
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.title
A highly efficient pricing method for European-style options based on Shannon wavelets
cat
dc.type
info:eu-repo/semantics/article
cat
dc.type
info:eu-repo/semantics/publishedVersion
cat
dc.embargo.terms
12 mesos
cat
dc.identifier.doi
10.1007/978-3-319-51753-7_21
cat
dc.rights.accessLevel
info:eu-repo/semantics/openAccess
