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ArticleDe-noising option prices with the wavelet method

Emmanuel E. Haven2012

Article2012

De-noising option prices with the wavelet method

Emmanuel E. Haven · Xiaoquan Liu · Liya Shen

86 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Image and Signal Denoising Methods

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References

1973The Pricing of Options and Corporate Liabilities 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2004Option‐Implied Risk Aversion Estimates 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS 2004Multiscale systematic risk 2002Testing the stability of implied probability density functions 2001Scaling properties of foreign exchange volatility

Cited by

2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?2014Adaptive Hidden Markov Model With Anomaly States for Price Manipulation Detection 2014A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices 2015Investment horizon heterogeneity and wavelet: Overview and further research directions 2017Electricity and growth nexus dynamics in Singapore : Fresh insights based on wavelet approach

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Year2012

Typearticle

Published2012-04-28

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations86

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2012.04.020

openalex_workW2018833906

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