Wavelet-based option pricing: an empirical study
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- scientific article; zbMATH DE number 5846589
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- De-noising option prices with the wavelet method
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Cited in
(21)- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- De-noising option prices with the wavelet method
- Option valuation under no-arbitrage constraints with neural networks
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Revealing the implied risk-neutral MGF from options: the wavelet method
- VIX derivatives, hedging and vol-of-vol risk
- An application of wavelet analysis to pricing and hedging derivative securities
- Robust pricing of European options with wavelets and the characteristic function
- scientific article; zbMATH DE number 5846589 (Why is no real title available?)
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
- Option pricing models based on wavelet neural network
- Stochastic volatility options pricing with wavelets and artificial neural networks
- Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
- Lévy modeled GMWB: Pricing with wavelets
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
- Structural asset pricing theory with wavelets
- Unlocking the black box: non-parametric option pricing before and during COVID-19
- Fifty years at the interface between financial modeling and operations research
- Orthogonal wavelet method for multi-stage expansion and contraction options under stochastic volatility
- European option pricing formula in risk-averse markets based on the risk measure of VaR
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