A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
DOI10.1016/j.apnum.2018.09.013zbMath1419.91645OpenAlexW2894913264WikidataQ129166036 ScholiaQ129166036MaRDI QIDQ1633313
Luis Ortiz-Gracia, Edouard Berthe, Duy Minh Dang
Publication date: 19 December 2018
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/127591
option pricingdimension reductionShannon waveletjump-diffusionmulti-factor CIRhybrid Monte Carlo partial differential equation
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)
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