WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
DOI10.1142/S021902491100667XzbMath1229.91302OpenAlexW2171450022MaRDI QIDQ3107933
B. Carton de Wiart, Michael A. H. Dempster
Publication date: 28 December 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902491100667x
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (3)
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