| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481344 | Physica A: Statistical Mechanics and its Applications | 2012 | 5 Pages |
Abstract
⺠Option prices are computed within an empirical approach based on stochastic modeling. ⺠We show that wavelet-filtered financial time series can be used for option pricing. ⺠The present model is validated through a careful analysis of FTSE100 option premiums.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
V.T.X. de Almeida, L. Moriconi,