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You searched for +publisher:"Delft University of Technology" +contributor:("Ortiz-Gracia, L."). One record found.

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Delft University of Technology

1. Maree, S.C. (author). Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.

Degree: 2015, Delft University of Technology

This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options to improve robustness, which allows us to heuristically select - and test the goodness - of all of the parameters a priori. Furthermore, we propose a simplified version of the SWIFT method, based on the Whittaker-Shannon sampling theory, which is an easy to implement method that posses algebraic convergence in the pricing of European and Bermudan options. The main contribution of this thesis is a new pricing method for Bermudan options by the SWIFT method, for exponential Levy processes using the Fast Fourier Transform. We compare the results of the SWIFT method to those of the COS method.

Delft Institute of Applied Mathematics

Electrical Engineering, Mathematics and Computer Science

Advisors/Committee Members: Oosterlee, C.W. (mentor), Ortiz-Gracia, L. (mentor).

Subjects/Keywords: option pricing; Bermudan options; exponential levy processes; wavelet series approximations; Shannon wavelets; Shannon-Whittaker sampling theory; Fourier transform inversion

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Maree, S. C. (. (2015). Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5

Chicago Manual of Style (16th Edition):

Maree, S C (author). “Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.” 2015. Masters Thesis, Delft University of Technology. Accessed August 04, 2020. http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5.

MLA Handbook (7th Edition):

Maree, S C (author). “Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.” 2015. Web. 04 Aug 2020.

Vancouver:

Maree SC(. Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. [Internet] [Masters thesis]. Delft University of Technology; 2015. [cited 2020 Aug 04]. Available from: http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5.

Council of Science Editors:

Maree SC(. Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. [Masters Thesis]. Delft University of Technology; 2015. Available from: http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5

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