A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
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Publication:6182371
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) Second-order parabolic equations (35K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Cites work
- scientific article; zbMATH DE number 6828612 (Why is no real title available?)
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- Variable time-stepping hybrid finite difference methods for pricing binary options
- Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
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