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 |
Keywords
- American option
- Asset
- Black-Scholes model
- European option
- Multiresolution Analysis
- Volatility
- Wavelet Based Numerical Method
ASJC Scopus subject areas
- Physics and Astronomy(all)
Fingerprint Dive into the research topics of 'Wavelet methods for Black-Scholes model of one and two assets'. Together they form a unique fingerprint.
Cite this
Al-Lawatia, M. (2012). Wavelet methods for Black-Scholes model of one and two assets. In AIP Conference Proceedings (Vol. 1463, pp. 157-175) https://doi.org/10.1063/1.4740044