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

2020/05/27 by Floc'h, Fabien Le
#Computational Finance (q-fin.CP) #FOS: Economics and business #Pricing of Securities (q-fin.PR)

paper · doi:10.48550/arxiv.2005.13252

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.

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