Wavelet optimized valuation of financial derivatives
B. Carton de Wiart; M. A. H. Dempster
| Year of publication: |
2011
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|---|---|
| Authors: | Wiart, B. Carton de ; Dempster, Michael A. H. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1113-1137
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| Subject: | Derivative pricing | partial differential equations | interpolating wavelets | sparse domain | adaptive methods | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Analysis | Mathematical analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009407662