Revealing the implied risk-neutral MGF from options: the wavelet method

DOI10.1016/j.jedc.2008.09.001zbMath1170.91341OpenAlexW2098220893MaRDI QIDQ2271662

Xiaoquan Liu, Liya Shen, Chenghu Ma, Emmanuel E. Haven

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/4516

zbMATH Keywords

Laplace transformoption pricingwavelet analysis

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Microeconomic theory (price theory and economic markets) (91B24) Laplace transform (44A10)

Related Items (10)

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order ⋮ INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ The use of action functionals within the quantum-like paradigm ⋮ De-noising option prices with the wavelet method ⋮ Wavelet-based option pricing: an empirical study ⋮ Extracting market information from equity options with exponential Lévy processes ⋮ Peaks and jumps reconstruction with \(B\)-splines scaling functions ⋮ Long-run wavelet-based correlation for financial time series ⋮ A neural network enhanced volatility component model ⋮ Haar wavelets-based approach for quantifying credit portfolio losses

Cites Work

• The Pricing of Options and Corporate Liabilities
• Computing continuous-time growth models with boundary conditions via wavelets
• Wavelet analysis of commodity price behavior
• Independent component analysis and resolution pursuit with wavelet and cosine packets
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Post-'87 crash fears in the S\&P 500 futures option market
• Wavelet-based prediction of oil prices
• A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence
• Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
• Advanced Asset Pricing Theory
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• Wavelet Transforms and Commodity Prices
• Ten Lectures on Wavelets
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The contribution of wavelets to the analysis of economic and financial data
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Revealing the implied risk-neutral MGF from options: the wavelet method