Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost

DOI10.1155/2014/168630zbMath1470.65176OpenAlexW2160399118WikidataQ59035685 ScholiaQ59035685MaRDI QIDQ1722240

Shu-Li Mei

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/168630

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

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• A Sparse Spectral Method for Homogenization Multiscale Problems
• Sparse dynamics for partial differential equations
• Compressed sensing
• Faber-Schauder wavelet transform, application to edge detection and image characterization

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