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Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets

Dana Černá, Kateřina Fiňková

2024Mathematics and Computers in Simulation12 citationsDOI

Topics & Concepts

WaveletMathematicsSparse gridApplied mathematicsTensor productBasis functionDiscretizationBlack–Scholes modelBasis (linear algebra)Spline (mechanical)Mathematical optimizationComputer scienceMathematical analysisGeometryPure mathematicsVolatility (finance)Structural engineeringEngineeringArtificial intelligenceEconometricsAdvanced Numerical Methods in Computational MathematicsImage and Signal Denoising MethodsDifferential Equations and Numerical Methods
Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets | Litcius