De-noising option prices with the wavelet method
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Publication:1926918
DOI10.1016/j.ejor.2012.04.020zbMath1253.91178OpenAlexW2018833906MaRDI QIDQ1926918
Xiaoquan Liu, Liya Shen, Emmanuel E. Haven
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.020
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Economic time series analysis (91B84) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
Cites Work
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