An Application of Wavelet Analysis to Pricing and Hedging Derivative Securities

• Autorzy: Hinz J.
• Języki publikacji: EN

Abstrakty

EN

This work provides an application of wavelet analysis to pricing and hedging path-dependent contingent claims within the framework of the Black-Scholes model.

Słowa kluczowe

EN

Black-Scholes model; wavelet analysis; pricing derivative; hedging derivative

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1999
• Tom: Vol. 19, Fasc. 1
• Strony: 43--53
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Hinz J.

• Mathematisches Institut, Universität Tübingen, 72076 Tübingen, Germany

Bibliografia

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