Hilbert transform, spectral filters and option pricing.
Carolyn E. PhelanDaniele MarazzinaGianluca FusaiGuido GermanoPublished in: Ann. Oper. Res. (2019)
Keyphrases
- option pricing
- hilbert transform
- steerable filters
- basis functions
- wavelet transform
- stock price
- radon transform
- multiscale
- rotation invariant
- black scholes
- decision analysis
- correlation function
- empirical mode decomposition
- feature detection
- random forests
- real option
- signal analysis
- non stationary
- grayscale images
- black scholes model
- linear combination
- historical data
- image structure
- multiresolution
- multi criteria
- gabor filters
- multi band
- hough transform
- pattern recognition
- image processing
- machine learning