Sparse wavelet methods for option pricing under stochastic volatility
Norbert Hilber; Ana-Maria Matache; Christoph Schwab
| Year of publication: |
2005
|
|---|---|
| Authors: | Hilber, Norbert ; Matache, Ana-Maria ; Schwab, Christoph |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 8.2004/2005, 4, p. 1-42
|
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002990514