De-noising option prices with the wavelet method.
Emmanuel HavenXiaoquan LiuLiya ShenPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- high precision
- detection method
- clustering method
- wavelet analysis
- filtering method
- preprocessing
- dynamic programming
- experimental evaluation
- computational cost
- high accuracy
- similarity measure
- synthetic data
- detection algorithm
- denoising
- cost function
- significant improvement
- multiresolution
- pairwise
- genetic algorithm
- wavelet transform
- image quality
- computational complexity
- convergence rate
- multiscale
- multiresolution analysis
- soft threshold