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De-noising option prices with the wavelet method

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
2004Option‐Implied Risk Aversion Estimates647 cited
1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS347 cited
2004Multiscale systematic risk316 cited
2002Testing the stability of implied probability density functions269 cited
2001Scaling properties of foreign exchange volatility201 cited
2004The relationship between stock returns and inflation: new evidence from wavelet analysis200 cited
2003Systematic risk and timescales194 cited
2006The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*178 cited
2001Differentiating intraday seasonalities through wavelet multi-scaling175 cited
2005Wavelet-based prediction of oil prices165 cited
2003The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses113 cited
2008Heavy-tails and regime-switching in electricity prices

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106 cited

2005The CAPM and value at risk at different time-scales95 cited

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