Stabilized wavelet methods for option pricing in high dimensional stochastic volatility models
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Author
Date
2009Type
- Doctoral Thesis
ETH Bibliography
yes
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https://doi.org/10.3929/ethz-a-005788972Publication status
publishedExternal links
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ETHSubject
OPTIONEN (FINANZEN); VOLATILITÄT (FINANZEN); STOCHASTISCHE DIFFERENTIALGLEICHUNGEN (WAHRSCHEINLICHKEITSRECHNUNG); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); WAVELETS + WAVELET-TRANSFORMATIONEN (ANALYSIS); FINITE-ELEMENTE-METHODE (NUMERISCHE MATHEMATIK); OPTIONS (FINANCE); VOLATILITY (FINANCE); STOCHASTIC DIFFERENTIAL EQUATIONS (PROBABILITY THEORY); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); WAVELETS + WAVELET TRANSFORMATIONS (MATHEMATICAL ANALYSIS); FINITE ELEMENT METHOD (NUMERICAL MATHEMATICS)Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph
Notes
Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 18176, 2009.More
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ETH Bibliography
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