An Application of Wavelet Analysis to Pricing and Hedging Derivative Securities
نویسنده
چکیده
This work provides an application of wavelet analysis to pricing and hedging path–dependent contingent claims within the framework of the Black–Scholes model.
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Pricing derivative securities pdf
This article shows that the one-state-variable interest-rate models of.There are an enormous number of derivative securities being traded in financial markets. And just define those securities that we shall be pricing. Definition.We present a model for pricing and hedging derivative securities and option portfolios in an. In this equation, the pricing volatility is selected dynamically from.Bec...
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