Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option

DOI10.1002/NUM.22729MaRDI QIDQ6089117zbMATH OpenOpenAlexWikidataFDO

Authors D. Kumar, Komal Deswal

Publication date 14 December 2023

Published in Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/num.22729

zbMATH Keywords

GreeksHaar wavelet methodoperational matricesoption pricingwavelets

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical computation of matrix exponential and similar matrix functions (65F60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A novel pricing method for European options based on Fourier-cosine series expansions
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
• Application of the local radial basis function-based finite difference method for pricing American options
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Fast deterministic pricing of options on Lévy driven assets
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• Pricing European and American options by radial basis point interpolation
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
• Radial-basis-function-based finite difference operator splitting method for pricing American options
• Real options pricing by the finite element method
• Robust pricing of European options with wavelets and the characteristic function
• The pricing of options and corporate liabilities
• The valuation of multidimensional American real options using the LSM simulation method
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Cited in

(4)

• scientific article; zbMATH DE number 5846589 (Why is no real title available?)
• Haar wavelet-based valuation method for pricing European options
• Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach
• An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework

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