Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
Publication:4626533
DOI10.1142/S0219691318500613zbMath1461.91349OpenAlexW2889510607WikidataQ129308344 ScholiaQ129308344MaRDI QIDQ4626533
Publication date: 28 February 2019
Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219691318500613
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Related Items (2)
Cites Work
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