A wavelet method for stochastic Volterra integral equations and its application to general stock model
zbMATH Open1424.65258MaRDI QIDQ4625348FDOQ4625348
Authors: S. Vahdati 
Publication date: 22 February 2019
Full work available at URL: http://cmde.tabrizu.ac.ir/article_6086.html
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Numerical methods for wavelets (65T60) Brownian motion (60J65) Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
Cited In (6)
- Haar wavelet-based valuation method for pricing European options
- Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
- A two-parameter Milstein method for stochastic Volterra integral equations
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
- Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
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