论文标题
基于香农小波的Swift方法的注释，用于期权定价
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing
论文作者
论文摘要
本说明表明，基于越南公式的余弦扩展等同于对骨膜身份的离散化。然后，我们评估使用简单直接算法来计算回报的香农系数。最后，我们探讨了与概率密度函数相关的系数，探索了fileon正交的效率，而不是越南公式的效率。
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.
