Stochastic volatility options pricing with wavelets and artificial neural networks

DOI10.1080/14697688.2002.0000016zbMath1405.91702OpenAlexW1976225195MaRDI QIDQ4647235

Christopher A. Zapart

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2002.0000016

zbMATH Keywords

waveletsstochastic volatilityartificial neural networksoptions pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Learning and adaptive systems in artificial intelligence (68T05) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

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De-noising option prices with the wavelet method ⋮ Multi-criteria classification for pricing European options ⋮ Wavelet-based option pricing: an empirical study

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