Efficient Hedging of Options with Probabilistic Haar Wavelets
نویسندگان
چکیده
منابع مشابه
Hedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
متن کاملSelective Crypting with Haar-Wavelets
The coefficients of a wavelet–decomposition form into different levels according to the size of the described details. This can be utilized to crypt only a part of the given data while keeping the rest unchanged so that critical information is filtered out. I achieved this idea with Haar–wavelets for a special type of data and show in addition an a priori error estimation.
متن کاملEfficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
We consider the problem of computing hedging portfolios for options that may have discontinuous payoffs, in the framework of diffusion models in which the number of factors may be larger than the number of Brownian motions driving the model. Extending the work of Fournie et al (1999), as well as Ma and Zhang (2000), using integration by parts of Malliavin calculus, we find two representations o...
متن کاملHaar Basis Wavelets
The Haar transform, which is one of the earliest transform functions proposed, was proposed in 1910 by a Hungarian mathematician Alfred Haar. It is found effective as it provides a simple approach for analysing the local aspects of a signal. Say we start with an image slice (one dimensional) of size , so we can write the image as Recursive Process of Decomposing an Image in terms of Sums and Di...
متن کاملA Haar wavelets approach to Stirling's formula
This paper presents a proof of Stirling's formula using Haar wavelets and some properties of Hilbert space, such as Parseval's identity. The present paper shows a connection between Haar wavelets and certain sequences.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ISRN Probability and Statistics
سال: 2012
ISSN: 2090-472X
DOI: 10.5402/2012/946415