Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey
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References listed on IDEAS
- Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
- Stephane Villeneuve, 1999. "Exercise regions of American options on several assets," Finance and Stochastics, Springer, vol. 3(3), pages 295-322.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
More about this item
KeywordsAmerican option; multi-grid methods; wavelet analysis; multiresolution analysis.;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-08 (All new papers)
- NEP-CMP-2005-10-08 (Computational Economics)
- NEP-ETS-2005-10-08 (Econometric Time Series)
- NEP-FIN-2005-10-08 (Finance)
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