Sparse wavelet methods for option pricing under stochastic volatility
dc.contributor.author
Hilber, Norbert
dc.contributor.author
Matache, Ana-Maria
dc.contributor.author
Schwab, Christoph
dc.date.accessioned
2018-09-12T08:39:46Z
dc.date.available
2017-06-09T13:08:52Z
dc.date.available
2018-09-12T08:39:46Z
dc.date.issued
2005
dc.identifier.issn
1460-1559
dc.identifier.issn
1755-2850
dc.identifier.other
10.21314/JCF.2005.131
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/38322
dc.language.iso
en
en_US
dc.publisher
Incisive Media
en_US
dc.subject
Plain vanilla
en_US
dc.subject
Barrier options
en_US
dc.subject
Ccompound options
en_US
dc.subject
Black-Scholes market
en_US
dc.subject
Stochastic volatility
en_US
dc.subject
Degenerate parabolic partial differential equations
en_US
dc.subject
Sparse wavelet space discretizations
en_US
dc.subject
Galerkin time-stepping
en_US
dc.subject
Generalized Minimum Residual method (GMRES)
en_US
dc.subject
Fast Fourier Transform (FFT)
en_US
dc.title
Sparse wavelet methods for option pricing under stochastic volatility
en_US
dc.type
Journal Article
ethz.journal.title
Journal of Computational Finance
ethz.journal.volume
8
en_US
ethz.journal.issue
4
en_US
ethz.pages.start
1
en_US
ethz.pages.end
42
en_US
ethz.identifier.nebis
005256927
ethz.publication.place
London
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
ethz.date.deposited
2017-06-09T13:09:15Z
ethz.source
ECIT
ethz.identifier.importid
imp59364e4c1283d29550
ethz.ecitpid
pub:61454
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-17T10:27:53Z
ethz.rosetta.lastUpdated
2018-09-12T08:39:49Z
ethz.rosetta.versionExported
true
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Journal Article [130999]