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

M. Al-Lawatia

doi:10.1063/1.4740044

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

M. Al-Lawatia^*

^*Corresponding author for this work

Mathematics & Statistics

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 language	English
Title of host publication	AIP Conference Proceedings
Pages	157-175
Number of pages	19
Volume	1463
DOIs	https://doi.org/10.1063/1.4740044
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/Territory	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)

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10.1063/1.4740044

Cite this

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title = "Wavelet methods for Black-Scholes model of one and two assets",

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].",

keywords = "American option, Asset, Black-Scholes model, European option, Multiresolution Analysis, Volatility, Wavelet Based Numerical Method",

author = "M. Al-Lawatia",

year = "2012",

doi = "10.1063/1.4740044",

language = "English",

isbn = "9780735410671",

volume = "1463",

pages = "157--175",

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note = "7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods ; Conference date: 18-07-2011 Through 22-07-2011",

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AU - Al-Lawatia, M.

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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

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M3 - Conference contribution

AN - SCOPUS:84875544835

SN - 9780735410671

VL - 1463

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EP - 175

BT - AIP Conference Proceedings

T2 - 7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods

Y2 - 18 July 2011 through 22 July 2011

ER -

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

Abstract

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Keywords

ASJC Scopus subject areas

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