Notes on the SWIFT method based on Shannon Wavelets for Option Pricing -- Revisited
Computational Finance
2024-01-09 v3 Numerical Analysis
Numerical Analysis
Abstract
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some possible improvements and exposes some concrete drawbacks of the method.
Keywords
Cite
@article{arxiv.2401.01758,
title = {Notes on the SWIFT method based on Shannon Wavelets for Option Pricing -- Revisited},
author = {Fabien Le Floc'h},
journal= {arXiv preprint arXiv:2401.01758},
year = {2024}
}