Stabilized wavelet methods for option pricing in high dimensional stochastic volatility models

Metadata Label Value
Author(s): Hilber, Norbert
Publisher: ETH
Citation:

Hilber, Norbert. Stabilized wavelet methods for option pricing in high dimensional stochastic volatility models. ETH (2009). http://dx.doi.org/10.3929/ethz-a-005788972

Document Type: Doctoral and Habilitation Theses  
Documents: Abstract (82.56KB) , Fulltext (2.92MB)
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Detailed Information

Metadata Description
Title Stabilized wavelet methods for option pricing in high dimensional stochastic volatility models
Author(s) Hilber, Norbert
Publication Place Zürich
Publisher ETH
Publication Date 2009
Notes Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 18176, 2009
Varying Title Wavelet methods for option pricing in SV models
Language English
DOI http://dx.doi.org/10.3929/ethz-a-005788972
Subject(s) Applied Mathematics
Operations Research
Keyword(s) OPTIONS
VOLATILITY
STOCHASTIC DIFFERENTIAL EQUATIONS
STOCHASTIC MODELS
FINITE ELEMENT METHOD
Description File Name MIME Type Size
Abstract   eth-41687-01.pdf application/pdf 82.56KB
Fulltext   eth-41687-02.pdf application/pdf 2.92MB
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E-Collection record created: Wed, 29 Apr 2009, 03:27:10 CET