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

2024/01/03 by Fabien Le Floc’h, Floc'h, Fabien Le
Economics, Econometrics and Finance · #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2401.01758

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.

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