Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option

DOI10.1002/NUM.22729OpenAlexW3116747223WikidataQ115397447 ScholiaQ115397447MaRDI QIDQ6089117

Komal Deswal, Devendra Kumar

Publication date: 14 December 2023

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.22729

zbMATH Keywords

waveletsoption pricingoperational matricesHaar wavelet methodGreeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical computation of matrix exponential and similar matrix functions (65F60)

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