Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
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Publication:4626533
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Cites work
- scientific article; zbMATH DE number 740106 (Why is no real title available?)
- scientific article; zbMATH DE number 878830 (Why is no real title available?)
- scientific article; zbMATH DE number 5054753 (Why is no real title available?)
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