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

Fabien Le Floc'h

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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.

Date: 2024-01, Revised 2024-01
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