Learning Martingale Measures From High Frequency Financial Data to Help Option Pricing.

Hung-Ching Chen Malik Magdon-Ismail

Published in: JCIS (2006)

Keyphrases

high frequency
financial data
low frequency
option pricing
high resolution
high quality
discrete wavelet transform
data mining
machine learning
image data
information extraction
subband
wavelet coefficients
stock price