Wavelet Methods

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 12 in Computational Methods for Quantitative Finance, 2013, pp 159-176 from Springer

Abstract: Abstract In the previous sections, we developed various algorithms for the efficient pricing of derivative contracts when the price of the underlying is a one-dimensional diffusion, a multidimensional diffusion, a general stochastic volatility or a one-dimensional Lévy process. In this part, we introduce variational numerical methods for pricing under yet more general processes with the aim of achieving linear complexity.

Keywords: Linear Complexity; Time Step Scheme; Local Volatility; Spline Wavelet; Singular Support (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_12

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DOI: 10.1007/978-3-642-35401-4_12

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