کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
478379 | 1446071 | 2012 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
De-noising option prices with the wavelet method
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Financial time series are known to carry noise. Hence, techniques to de-noise such data deserve great attention. Wavelet analysis is widely used in science and engineering to de-noise data. In this paper we show, through the use of Monte Carlo simulations, the power of the wavelet method in the de-noising of option price data. We also find that the estimation of risk-neutral density functions and out-of-sample price forecasting is significantly improved after noise is removed using the wavelet method.
► Wavelets de-noise perturbed option prices very well.
► Wavelet de-noising is necessary for density estimation from the option prices.
► Wavelet de-noising improves density estimation and forecasting ability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 222, Issue 1, 1 October 2012, Pages 104–112
Journal: European Journal of Operational Research - Volume 222, Issue 1, 1 October 2012, Pages 104–112
نویسندگان
Emmanuel Haven, Xiaoquan Liu, Liya Shen,