Pricing early-exercise and discrete barrier options by Shannon wavelet expansions.
S. C. MareeLuis Ortiz-GraciaC. W. OosterleePublished in: Numerische Mathematik (2017)
Keyphrases
- option pricing
- translation invariant
- black scholes model
- double exponential
- multiscale
- multiresolution
- denoising
- wavelet transform
- wavelet coefficients
- information theory
- multiresolution analysis
- finite number
- discrete version
- distributional assumptions
- shannon entropy
- pricing model
- continuous attributes
- real option
- wavelet transformation
- data sets
- wavelet analysis
- continuous variables
- neural network