De-noising option prices with the wavelet method - Haven, Emmanuel; Liu, Xiaoquan; Shen, Liya (European journal of operational research, 2012)
Keywords: Applied sciences; De-noise; Exact sciences and technology; Mathematical functions; Monte Carlo simulation; Operational research and scientific management; Operational research. Management science; Option pricing; Planning. Forecasting; Portfolio theory; Securities prices; Studies; Time series; Wavelet analysis; Wavelet transforms; Wavelet analysis; Option pricing; Monte Carlo simulation; De-noise; Monte Carlo method; Noise reduction; Time series; Financial market; Modeling; Forecasting; Wavelet transformation; Stock exchange; Pricing; Density function; Financial data; Financial option; Tariffication