Wavelet-based option pricing: an empirical study

DOI10.1016/j.ejor.2018.07.025zbMath1403.91374OpenAlexW2588288887MaRDI QIDQ1991243

Chenghu Ma, Liya Shen, Yi Cao, Xiaoquan Liu

Publication date: 30 October 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://epubs.surrey.ac.uk/848762/1/Wavelet-based%20option%20pricing.pdf

zbMATH Keywords

stochastic volatilityartificial neural networksjump riskpricingoption valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Wavelet-optimized compact finite difference method for convection-diffusion equations ⋮ Unnamed Item ⋮ Option valuation under no-arbitrage constraints with neural networks ⋮ VIX derivatives, hedging and vol-of-vol risk

Uses Software

• wmtsa
• Faster R-CNN

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Differentiating intraday seasonalities through wavelet multi-scaling
• The Pricing of Options and Corporate Liabilities
• Robust option pricing
• A new wavelet-based denoising algorithm for high-frequency financial data mining
• Hidden semi-Markov model-based methodology for multi-sensor equipment health diagnosis and prognosis
• Option pricing with mean reversion and stochastic volatility
• Computing continuous-time growth models with boundary conditions via wavelets
• Heavy-tails and regime-switching in electricity prices
• Wavelet thresholding for non-necessarily Gaussian noise: idealism
• Nonparametric option pricing under shape restrictions
• Scaling properties of foreign exchange volatility
• De-noising option prices with the wavelet method
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing and hedging long-term options
• Statistical analysis of financial volatility by wavelet shrinkage
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• Revealing the implied risk-neutral MGF from options: the wavelet method
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• A wavelet-based spectral procedure for steady-state simulation analysis
• Advanced Asset Pricing Theory
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• Wavelet Transforms and Commodity Prices
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Learning Deep Architectures for AI
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
• WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES
• Stochastic volatility options pricing with wavelets and artificial neural networks
• Systematic risk and timescales
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Wavelet Variance Analysis of Output in G-7 Countries
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models

This page was built for publication: Wavelet-based option pricing: an empirical study