WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
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Publication:3107933
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for wavelets (65T60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Recommendations
- scientific article; zbMATH DE number 1944677
- An application of wavelet analysis to pricing and hedging derivative securities
- Wavelet-based option pricing: an empirical study
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- Valuation of structured financial products by adaptive multiwavelet methods in high dimensions
- Efficient hedging of options with probabilistic Haar wavelets
- Haar wavelet-based valuation method for pricing European options
- Efficient wavelets-based valuation of synthetic CDO tranches
Cites work
- scientific article; zbMATH DE number 1222806 (Why is no real title available?)
- A Wavelet-Optimized, Very High Order Adaptive Grid and Order Numerical Method
- A fast adaptive wavelet collocation algorithm for multidimensional PDEs
- A general adaptive solver for hyperbolic PDEs based on filter bank subdivisions
- An adaptive spline wavelet ADI(SW-ADI) method for two-dimensional reaction-diffusion equations
- Biorthogonal bases of compactly supported wavelets
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast wavelet transforms and numerical algorithms I
- Filter Bank Methods for Hyperbolic PDEs
- On the use of wavelets in computational combustion
- Second-generation wavelet collocation method for the solution of partial differential equations
- Symmetric iterative interpolation processes
- The Market Model of Interest Rate Dynamics
- The value of an Asian option
Cited in
(10)- A functional analysis approach to the static replication of European options
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- scientific article; zbMATH DE number 1944677 (Why is no real title available?)
- An application of wavelet analysis to pricing and hedging derivative securities
- Chebyshev reduced basis function applied to option valuation
- A parallel wavelet-based pricing procedure for Asian options
- Structural asset pricing theory with wavelets
- Efficient wavelets-based valuation of synthetic CDO tranches
- Valuation of structured financial products by adaptive multiwavelet methods in high dimensions
- Lévy modeled GMWB: Pricing with wavelets
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