Revealing the implied risk-neutral MGF from options: The wavelet method

Journal of Economic Dynamics and Control

Volumn 33, Issue 3, 2009, Pages 692-709

  Haven, Emmanuel ^a   Liu, Xiaoquan ^b   Ma, Chenghu ^c   Shen, Liya ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF ESSEX   (United Kingdom)

^c XIAMEN UNIVERSITY   (China)

Author keywords

Laplace transform; Option pricing; Wavelet analysis

Indexed keywords

EID: 59349119398     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.09.001     Document Type: Article

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