Coupling Technique of Haar Wavelet Transform and Variational Iteration Method for a Nonlinear Option Pricing Model
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Asma Ali Elbeleze & Adem Kılıçman & Bachok M. Taib, 2013. "Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-7, May.
- Hassan A. Zedan & Eman Alaidarous, 2014. "Haar Wavelet Method for the System of Integral Equations," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-9, July.
- Jian Huang & Zhongdi Cen, 2014. "Cubic Spline Method for a Generalized Black-Scholes Equation," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
- Shu-Li Mei & De-Hai Zhu, 2013. "Interval Shannon Wavelet Collocation Method for Fractional Fokker-Planck Equation," Advances in Mathematical Physics, Hindawi, vol. 2013, pages 1-12, December.
- Umer Saeed & Mujeeb ur Rehman, 2014. "Haar Wavelet Operational Matrix Method for Fractional Oscillation Equations," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2014, pages 1-8, July.
- 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.
- Li-wei Liu, 2013. "Interval Wavelet Numerical Method on Fokker-Planck Equations for Nonlinear Random System," Advances in Mathematical Physics, Hindawi, vol. 2013, pages 1-7, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fadugba, Sunday Emmanuel, 2020. "Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Ben Abdallah, Skander & Lasserre, Pierre, 2016.
"Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
- Skander Ben Abdallah & Pierre Lasserre, 2016. "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers 2016s-37, CIRANO.
- Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
- Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
- William R. Morgan, 2023. "Finance Must Be Defended: Cybernetics, Neoliberalism and Environmental, Social, and Governance (ESG)," Sustainability, MDPI, vol. 15(4), pages 1-21, February.
- Filipe Fontanela & Antoine Jacquier & Mugad Oumgari, 2019. "A Quantum algorithm for linear PDEs arising in Finance," Papers 1912.02753, arXiv.org, revised Feb 2021.
- Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
- Gordian Rättich & Kim Clark & Evi Hartmann, 2011. "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
- Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.
- An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
- Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019.
"Implied volatility surface predictability: The case of commodity markets,"
Journal of Banking & Finance, Elsevier, vol. 108(C).
- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
- Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
- Vorst, A. C. F., 1988. "Option Pricing And Stochastic Processes," Econometric Institute Archives 272366, Erasmus University Rotterdam.
- Dybvig, Philip H. & Gong, Ning & Schwartz, Rachel, 2000. "Bias of Damage Awards and Free Options in Securities Litigation," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 149-168, April.
- Zhao, Zhibiao & Wu, Wei Biao, 2009. "Nonparametric inference of discretely sampled stable Lévy processes," Journal of Econometrics, Elsevier, vol. 153(1), pages 83-92, November.
- Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
- Yonggu Kim & Keeyoung Shin & Joseph Ahn & Eul-Bum Lee, 2017. "Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement," Sustainability, MDPI, vol. 9(10), pages 1-16, October.
- Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
More about this item
Keywords
Haar wavelet; homotopy perturbation method; variational iteration method; Black–Scholes model;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:9:y:2021:i:14:p:1642-:d:593175. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.