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Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility.

Chun-Sung HuangJohn G. O'HaraSure Mataramvura
Published in: Appl. Math. Comput. (2022)
Keyphrases
  • double exponential
  • highly efficient
  • multiresolution
  • worst case
  • information theory
  • low cost
  • data complexity
  • database
  • real time
  • evolutionary algorithm
  • probabilistic model