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

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	Canada
City	Vancouver, BC
Period	7/18/11 → 7/22/11

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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

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

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Access to Document

10.1063/1.4740044