Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

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dc.contributor.authorMaree, Stef C.
dc.contributor.authorOrtiz Gracia, Luis
dc.contributor.authorOosterlee, C. W. (Cornelis W.)
dc.date.accessioned2017-09-15T08:50:29Z
dc.date.available2018-08-31T22:01:23Z
dc.date.issued2017-08
dc.date.updated2017-09-15T08:50:29Z
dc.description.abstractWe present a pricing method based on Shannon wavelet expansions for early-exercise and discretely-monitored barrier options under exponential Lévy asset dynamics. Shannon wavelets are smooth, and thus approximate the densities that occur in finance well, resulting in exponential convergence. Application of the Fast Fourier Transform yields an efficient implementation and since wavelets give local approximations, the domain boundary errors can be naturally resolved, which is the main improvement over existing methods.
dc.format.extent36 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec673313
dc.identifier.issn0029-599X
dc.identifier.urihttps://hdl.handle.net/2445/115443
dc.language.isoeng
dc.publisherSpringer Verlag
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1007/s00211-016-0858-2
dc.relation.ispartofNumerische Mathematik, 2017, vol. 136, num. 4, p. 1035-1070
dc.relation.urihttps://doi.org/10.1007/s00211-016-0858-2
dc.rights(c) Springer Verlag, 2017
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationAnàlisi de Fourier
dc.subject.classificationTransformacions (Matemàtica)
dc.subject.classificationAnàlisi financera
dc.subject.otherFourier analysis
dc.subject.otherTransformations (Mathematics)
dc.subject.otherInvestment analysis
dc.titlePricing early-exercise and discrete barrier options by Shannon wavelet expansions
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

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