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

Research output: Chapter in Book/Report/Conference proceedingConference 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 2011Jul 22 2011

Other

Other7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods
CountryCanada
CityVancouver, BC
Period7/18/117/22/11

Fingerprint

strings

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 proceedingConference contribution

Al-Lawatia, M 2012, Wavelet methods for Black-Scholes model of one and two assets. in AIP Conference Proceedings. vol. 1463, pp. 157-175, 7th International Congress on Industrial and Applied Mathematics - Thematic Minisymposia: Emerging Applications of Wavelet Methods, Vancouver, BC, Canada, 7/18/11. https://doi.org/10.1063/1.4740044
Al-Lawatia, M. / Wavelet methods for Black-Scholes model of one and two assets. AIP Conference Proceedings. Vol. 1463 2012. pp. 157-175
@inproceedings{ca532c8b7f594dfc897bff3f243acd92,
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",
booktitle = "AIP Conference Proceedings",

}

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 -