We propose a highly efficient and accurate valuation method for exotic-style options based on the novel Shannon wavelet inverse Fourier technique (SWIFT). Specifically, we derive an efficient pricing method for power options under a more realistic double exponential jump model with stochastic volatility and jump intensity. The inclusion of such innovations may accommodate for the various stylised facts observed in the prices of financial assets, and admits a more realistic pricing framework as a result. Following the derivation of our SWIFT pricing method for power options, we perform extensive numerical experiments to analyse both the method’s accuracy and efficiency. In addition, we investigate the sensitivities in the resulting prices, as well as the inherent errors, to changes in the underlying market conditions. Our numerical results demonstrate that the SWIFT method is not only more efficient when benchmarked to its closest competitors, such as the Fourier-cosine (COS) and the widely-acclaimed fast-Fourier transform (FFT) methods, but it is also robust across a range of different market conditions exhibiting exponential error convergence.

我们基于新颖的香农小波逆傅里叶技术 (SWIFT) 提出了一种高效且准确的奇异期权估值方法。具体来说，我们在具有随机波动率和跳跃强度的更现实的双指数跳跃模型下推导出一种有效的权力期权定价方法。纳入此类创新可以适应在金融资产价格中观察到的各种程式化事实，并因此承认更现实的定价框架。在推导出我们的 SWIFT 电力期权定价方法之后，我们进行了大量的数值实验来分析该方法的准确性和效率。此外，我们调查了由此产生的价格的敏感性，以及对基础市场条件变化的固有误差。