Wavelet methods for Black-Scholes model of one and two assets

M. Al-Lawatia*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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 languageEnglish
Title of host publicationAIP Conference Proceedings
Pages157-175
Number of pages19
Volume1463
DOIs
Publication statusPublished - 2012
Event7th 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

Other7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods
CountryCanada
CityVancouver, BC
Period7/18/11 → 7/22/11

Keywords

  • American option
  • Asset
  • Black-Scholes model
  • European option
  • Multiresolution Analysis
  • Volatility
  • Wavelet Based Numerical Method

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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