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 |
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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 |
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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)