A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options

DOI10.1002/mma.8318zbMath1530.35319OpenAlexW4225154545MaRDI QIDQ6182371

Devendra Kumar, Komal Deswal

Publication date: 21 December 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.8318

zbMATH Keywords

option pricingmulti-resolution analysisHaar waveletsGreeksbinary options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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