A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
type: Item
instance of: scholarly article
title: A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
zbMATH Open document ID: 1419.91645
author: Edouard Berthe
author: Luis Ortiz-Gracia
author: D. M. Dang
published in: Applied Numerical Mathematics
publication date: 2018-12-19T00:00:00Z
full work available at URL: http://hdl.handle.net/2445/127591
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65T60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6995984
zbMATH Keywords: Shannon wavelet
zbMATH Keywords: hybrid Monte Carlo partial differential equation
zbMATH Keywords: dimension reduction
zbMATH Keywords: multi-factor CIR
zbMATH Keywords: jump-diffusion
zbMATH Keywords: option pricing
describes a project that uses: Sinc-Pack
MaRDI profile type: Publication
OpenAlex ID: W2894913264
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Wikidata QID: Q129166036
DOI: 10.1016/J.APNUM.2018.09.013
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description: scientific article; zbMATH DE number 6995984