De-noising option prices with the wavelet method
From MaRDI portal
Publication:1926918
DOI10.1016/j.ejor.2012.04.020zbMath1253.91178MaRDI 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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
91B84: Economic time series analysis
65T60: Numerical methods for wavelets
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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