Wavelet-based option pricing : an empirical study
Xiaoquan Liu, Yi Cao, Chenghu Ma, Liya Shen
| Year of publication: |
1 February 2019
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|---|---|
| Authors: | Liu, Xiaoquan ; Cao, Yi ; Ma, Chenghu ; Shen, Liya |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 272.2019, 3 (1.2.), p. 1132-1142
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| Subject: | Pricing | Option valuation | Artificial neural networks | Stochastic volatility | Jump risk | Optionspreistheorie | Option pricing theory | Neuronale Netze | Neural networks | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.07.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011942861