De-noising option prices with the wavelet method

European Journal of Operational Research

Volumn 222, Issue 1, 2012, Pages 104-112

  Haven, Emmanuel ^a   Liu, Xiaoquan ^b   Shen, Liya ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

De noise; Monte Carlo simulation; Option pricing; Wavelet analysis

Indexed keywords

DE-NOISE; DE-NOISING; FINANCIAL TIME SERIES; MONTE CARLO SIMULATION; OPTION PRICE; OPTION PRICING; PRICE FORECASTING; SCIENCE AND ENGINEERING; WAVELET METHODS;

FINANCIAL DATA PROCESSING; MONTE CARLO METHODS; RISK PERCEPTION; WAVELET ANALYSIS;

COSTS;

EID: 84861828980     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2012.04.020     Document Type: Article

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