Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.
Mei Choi ChiuYu Wai LoHoi Ying WongPublished in: Oper. Res. Lett. (2011)
Keyphrases
- financial markets
- multiscale
- option pricing
- stock price
- stock market
- black scholes model
- double exponential
- risk management
- scale space
- monte carlo
- wavelet transform
- image processing
- computer vision
- image representation
- non stationary
- coarse to fine
- affine invariant
- historical data
- exchange rate
- dynamic pricing
- worst case
- stock index futures
- wavelet coefficients
- financial data