Notes on the SWIFT method based on Shannon Wavelets for Option Pricing

Fabien Le Floc'h

Papers from arXiv.org

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.

Date: 2020-05
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