Robust pricing of European options with wavelets and the characteristic function
From MaRDI portal
Publication:2870656
Recommendations
- A novel pricing method for European options based on Fourier-cosine series expansions
- Wavelet-based option pricing: an empirical study
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- A dimension reduction Shannon-wavelet based method for option pricing
- Wavelet method for option pricing under the two-asset Merton jump-diffusion model.
Cited in
(26)- Efficient pricing of European options on two underlying assets by frame duality
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- Efficient wavelets-based valuation of synthetic CDO tranches
- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- Closed-form option pricing for exponential Lévy models: a residue approach
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- The valuation of American options with the stochastic liquidity risk and jump risk
- The use of power numeraires in option pricing
- Precise option pricing by the COS method -- how to choose the truncation range
- The COS method for option valuation under the SABR dynamics
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Singular Fourier-Padé series expansion of European option prices
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Quantifying credit portfolio losses under multi-factor models
- Wavelet-based option pricing: an empirical study
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Peaks and jumps reconstruction with \(B\)-splines scaling functions
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
This page was built for publication: Robust pricing of European options with wavelets and the characteristic function
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2870656)
