Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(Shannon wavelets). Showing records 1 – 2 of 2 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters


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

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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 13, 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. 13 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 13]. 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


Delft University of Technology

2. Wagner, Emma (author). On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.

Degree: 2017, Delft University of Technology

This work is on the extension of the SWIFT method to option pricing problems where the sum of lognormals occurs. The SWIFT method (ShannonWavelet Inverse Fourier Technique) is extended to the valuation of geometric Asian options and arithmetic Asian options with a Lévy process as underlying price process and the valuation of European options under SABR dynamics. In both applications a sum of lognormals (or sum of increments) occurs. The main result in this thesis is the SWIFT-SIA method (SWIFT sinc integral approximation), which is applied to the valuation of arithmetic Asian options as well as to the valuation of European options under the SABRmodel. Within the SWIFT-SIA method the recovery of the probability density function is obtained by an approximation, instead of a numerical integration method, which results in a very fast method compared to an alternative method based on cosine expansions as well as high accuracy in the option values.

Applied Mathematics

Advisors/Committee Members: Oosterlee, Kees (mentor), Ortiz Garcia, Antonio (mentor), Cirillo, Pasquale (graduation committee), Delft University of Technology (degree granting institution).

Subjects/Keywords: Shannon wavelets; Option Pricing; Asian Options; SABR model; Fourier Transform; Levy process

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Wagner, E. (. (2017). On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3

Chicago Manual of Style (16th Edition):

Wagner, Emma (author). “On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.” 2017. Masters Thesis, Delft University of Technology. Accessed August 13, 2020. http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3.

MLA Handbook (7th Edition):

Wagner, Emma (author). “On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.” 2017. Web. 13 Aug 2020.

Vancouver:

Wagner E(. On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Aug 13]. Available from: http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3.

Council of Science Editors:

Wagner E(. On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3

.