A dimension reduction Shannon-wavelet based method for option pricing
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Publication:1635866
DOI10.1007/s10915-017-0556-yzbMath1395.91496OpenAlexW2755328753MaRDI QIDQ1635866
Luis Ortiz-Gracia, Duy Minh Dang
Publication date: 1 June 2018
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/122335
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Computation of market risk measures with stochastic liquidity horizon ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations
Uses Software
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