scientific article; zbMATH DE number 1944677

MaRDI QIDQ4407995zbMATH OpenFDO

Authors A. Eswaran, M. A. H. Dempster

Publication date 2001

zbMATH Keywords

biorthogonal waveletmethod of linesnumerical solutions to Black-Scholes PDE

Mathematics Subject Classification ID

Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for wavelets (65T60)

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(9)

• Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
• Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation
• Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations
• An application of wavelet analysis to pricing and hedging derivative securities
• Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance
• The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
• WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
• A multilevel approach to solving the Black-Scholes equation
• Valuation of structured financial products by adaptive multiwavelet methods in high dimensions

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