A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options.
Luis Ortiz-GraciaCornelis W. OosterleePublished in: SIAM J. Sci. Comput. (2016)
Keyphrases
- highly efficient
- option pricing
- black scholes model
- translation invariant
- double exponential
- wavelet transform
- denoising
- wavelet coefficients
- information theory
- fourier transform
- low cost
- multiresolution
- multiscale
- shift invariant
- image reconstruction
- ridgelet transform
- low complexity
- frequency domain
- gray code
- low latency
- information retrieval
- computer vision
- stock price
- radon transform
- wavelet domain
- dynamic pricing
- feature extraction
- shannon entropy
- series expansion
- real time
- image compression