De-noising option prices with the wavelet method
From MaRDI portal
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)
Related Items (9)
Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ Time series modeling and forecasting by mathematical programming ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Causal relationships between inflation and inflation uncertainty ⋮ Wavelet-based option pricing: an empirical study ⋮ Long-run wavelet-based correlation for financial time series ⋮ A neural network enhanced volatility component model ⋮ Fat tails, serial dependence, and implied volatility index connections
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Differentiating intraday seasonalities through wavelet multi-scaling
- The Pricing of Options and Corporate Liabilities
- A new wavelet-based denoising algorithm for high-frequency financial data mining
- Hidden semi-Markov model-based methodology for multi-sensor equipment health diagnosis and prognosis
- Improved customer choice predictions using ensemble methods
- Heavy-tails and regime-switching in electricity prices
- Data dependent wavelet thresholding in nonparametric regression with change-point applications
- Wavelet analysis of commodity price behavior
- Wavelet thresholding for non-necessarily Gaussian noise: idealism
- Scaling properties of foreign exchange volatility
- Spectral-temporal filtering of NDT data using wavelet transform modulus maxima
- Statistical analysis of financial volatility by wavelet shrinkage
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- Revealing the implied risk-neutral MGF from options: the wavelet method
- Approximating term structure of interest rates using cubic \(L_1\) splines
- Wavelet-based prediction of oil prices
- A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence
- Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
- A wavelet-based spectral procedure for steady-state simulation analysis
- Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
- The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
- Wavelet Transforms and Commodity Prices
- WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES
- Nonlinear Wavelet Shrinkage with Bayes Rules and Bayes Factors
- Ten Lectures on Wavelets
- Wavelet Thresholding via A Bayesian Approach
- Ideal spatial adaptation by wavelet shrinkage
- Adaptive Bayesian Wavelet Shrinkage
- Wavelet thresholding for some classes of non–Gaussian noise
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Stochastic volatility options pricing with wavelets and artificial neural networks
- Systematic risk and timescales
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
- Spatially Adaptive Regression Splines and Accurate Knot Selection Schemes
- Wavelet Variance Analysis of Output in G-7 Countries
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
This page was built for publication: De-noising option prices with the wavelet method
