WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
DOI10.1142/S021902491100667XzbMATH Open1229.91302OpenAlexW2171450022MaRDI QIDQ3107933FDOQ3107933
Authors: B. Carton de Wiart, M. A. H. Dempster 
Publication date: 28 December 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902491100667x
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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)
Cites Work
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Cited In (10)
- A functional analysis approach to the static replication of European options
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Title not available (Why is that?)
- 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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