An application of wavelet analysis to pricing and hedging derivative securities

MaRDI QIDQ2772007zbMATH OpenFDO

Authors Juri Hinz

Publication date 18 February 2002

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

contingent claimsmartingale representationwavelet analysis

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stochastic integrals (60H05) Applications of operator theory in probability theory and statistics (47N30)

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Cited in

(8)

• scientific article; zbMATH DE number 5260760 (Why is no real title available?)
• Wavelet analysis of commodity price behavior
• WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
• Wavelet Transforms and Commodity Prices
• On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment
• Structural asset pricing theory with wavelets
• scientific article; zbMATH DE number 5002334 (Why is no real title available?)
• Lévy modeled GMWB: Pricing with wavelets

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