Notes on the SWIFT method based on Shannon Wavelets for Option Pricing
Computational Finance
2020-05-28 v1 Pricing of Securities
Abstract
This note shows that the cosine expansion based on the Vieta formula is equivalent to a discretization of the Parseval identity. We then evaluate the use of simple direct algorithms to compute the Shannon coefficients for the payoff. Finally, we explore the efficiency of a Filon quadrature instead of the Vieta formula for the coefficients related to the probability density function.
Cite
@article{arxiv.2005.13252,
title = {Notes on the SWIFT method based on Shannon Wavelets for Option Pricing},
author = {Fabien Le Floc'h},
journal= {arXiv preprint arXiv:2005.13252},
year = {2020}
}