Sparse wavelet methods for option pricing under stochastic volatility
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Author / Producer
Date
2005
Publication Type
Journal Article
ETH Bibliography
yes
Citations
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Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
8 (4)
Pages / Article No.
1 - 42
Publisher
Incisive Media
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Plain vanilla; Barrier options; Ccompound options; Black-Scholes market; Stochastic volatility; Degenerate parabolic partial differential equations; Sparse wavelet space discretizations; Galerkin time-stepping; Generalized Minimum Residual method (GMRES); Fast Fourier Transform (FFT)
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph
Notes
Funding
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