Stochastic volatility options pricing with wavelets and artificial neural networks

Quantitative Finance

Volumn 2, Issue 6, 2002, Pages 487-495

  Zapart, Christopher ^a  

^a Adv Fin Trading Solutions Ltd   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008829445     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2002.0000016     Document Type: Article

References (25)

1. Black F and Scholes M 1973 The pricing of options and corporate liabilities. J. Political Economy 81 637-59
2. Hull J C and White A 1987 The pricing of options on assets with stochastic volatilities. J. Finance 42 281-300
3. Cox J C and Ross S A 1976 The valuation of options for alternative stochastic processes. J. Financial Economics 3 145-66
4. Hull J C 1997 Options, Futures and Other Derivatives 3rd edn (Englewood Cliffs, NJ: Prentice-Hall) p 233
5. Gençay R, Selçuk F and Whitcher B 2001 An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (New York: Academic)
6. Mallat S 1998 A Wavelet Tour of Signal Processing (New York: Academic)
7. Dempster M A H and Eswaran A 2000 Wavelets methods in PDE valuation of financial derivatives Proc. 2nd Int. Conf. of Intelligent Data Engineering and Automated Learning (IDEAL 2000) pp 215-38
8. Hazarika N and Lowe D 1997 Iterative time-series prediction and analysis by embedding and multiple timescale decomposition networks. Proc. SPIE 3 94-104
9. Haykin S 1994 Neural Networks (New York: Macmillan)
10. Zoubir A M and Boashash B 1998 The bootstrap and its application in signal processing. IEEE Signal Process. Mag. 15 56-76
11. Cox J C, Ross S A and Rubinstein M 1979 Option pricing: a simplified approach. J. Financial Economics 7 229-63
12. Aussem A, Campbell J G and Murtagh F 1998 Wavelet-based feature extraction and decomposition strategies for financial forecasting. J. Comput. Intelligence Finance 6 (2) 5-12
13. Zheng G, Starck J L, Campbell J G and Murtagh F 1999 Multiscale transforms for filtering financial data streams. J. Comput. Intelligence Finance 7 18-35
14. Zapart C and Lowe D 1999 Non-linear iterated forecasting by neural networks with confidence intervals and sensitivity analysis. Neural Network World 5 393-401
15. Capobianco E 2002 Multiresolution approximation for volatility processes. Quantitative Finance 2 91-110
16. Chang S G, Yu B and Vetterli M 2000 Adaptive wavelet thresholding for image denoising and compression. IEEE Trans. Image Process. 9 1532-46
17. Donoho D L and Johnstone I M 1994 Ideal spatial adaptation by wavelet shrinkage. Biometrika 81 425-55
18. Graps A 1995 An introduction to wavelets. IEEE Comput. Sci. Eng. 2 50-61
19. McCulloch W S and Pitts W 1943 A logical calculus of the ideas immanent in nervous activity. Bull. Math. Biophys. 5 115-33
20. Rosenblatt F 1962 Principles of Neurodynamics (Washington, DC: Spartan)
21. Widrow B 1962 Generalization and information storage in networks of adaline 'neurons' Self-Organizing Systems (Washington, DC: Spartan) pp 435-61
22. Werbos P J 1974 Beyond regression: new tools for prediction and analysis in the behavioural sciences PhD Thesis Harvard University
23. Rumelhart D E, Hinton G E and Williams R J 1986 Learning internal representations by error propagation Parallel Distributed Processing: Exploration in the Microstructure of Cognition vol 1 (Cambridge, MA: MIT Press) p 8
24. Lowe D 1998 Characterising complexity by degrees of freedom in a radial basis function network. Neurocomputing 19 199-209
25. Lowe D 2002 Information fusion applied to selected financial problem domains Multisensor Fusion (NATO Science Series, vol 70) ed A K Hyder, E Shahbazian and E Waltz (Dordrecht: Kluwer) pp 749-64