Abstract
A review of application of wavelet methods to Black-Scholes model of option pricing technology along wih some new results is presented. This paper is essentially based on interesting papers; Bouchouev and Isakov [8], Bouchouev, Isakov and Valadivia [9] and Shen and Strang [40].
| Original language | English |
|---|---|
| Title of host publication | AIP Conference Proceedings |
| Pages | 157-175 |
| Number of pages | 19 |
| Volume | 1463 |
| DOIs | |
| Publication status | Published - 2012 |
| Event | 7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods - Vancouver, BC, Canada Duration: Jul 18 2011 → Jul 22 2011 |
Other
| Other | 7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods |
|---|---|
| Country | Canada |
| City | Vancouver, BC |
| Period | 7/18/11 → 7/22/11 |
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Keywords
- American option
- Asset
- Black-Scholes model
- European option
- Multiresolution Analysis
- Volatility
- Wavelet Based Numerical Method
ASJC Scopus subject areas
- Physics and Astronomy(all)
Cite this
Wavelet methods for Black-Scholes model of one and two assets. / Al-Lawatia, M.
AIP Conference Proceedings. Vol. 1463 2012. p. 157-175.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Wavelet methods for Black-Scholes model of one and two assets
AU - Al-Lawatia, M.
PY - 2012
Y1 - 2012
N2 - A review of application of wavelet methods to Black-Scholes model of option pricing technology along wih some new results is presented. This paper is essentially based on interesting papers; Bouchouev and Isakov [8], Bouchouev, Isakov and Valadivia [9] and Shen and Strang [40].
AB - A review of application of wavelet methods to Black-Scholes model of option pricing technology along wih some new results is presented. This paper is essentially based on interesting papers; Bouchouev and Isakov [8], Bouchouev, Isakov and Valadivia [9] and Shen and Strang [40].
KW - American option
KW - Asset
KW - Black-Scholes model
KW - European option
KW - Multiresolution Analysis
KW - Volatility
KW - Wavelet Based Numerical Method
UR - http://www.scopus.com/inward/record.url?scp=84875544835&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84875544835&partnerID=8YFLogxK
U2 - 10.1063/1.4740044
DO - 10.1063/1.4740044
M3 - Conference contribution
SN - 9780735410671
VL - 1463
SP - 157
EP - 175
BT - AIP Conference Proceedings
ER -