Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122573411> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W3122573411 abstract "In this paper, we adopt a wavelet-based option valuation model and empirically compare the pricing and forecasting performance of this model with that of the stochastic volatility model with jumps and the spline method. Both the in-sample valuation and out-of-sample forecasting accuracy are examined using daily index options in the UK, Germany, and Hong Kong from January 2009 to December 2012. Our results show that the wavelet-based model compares favorably with the other two models and that it provides an excellent alternative for valuing option prices. Its superior performance comes from the powerful ability of the wavelet method in approximating the risk-neutral moment-generating functions." @default.
- W3122573411 created "2021-02-01" @default.
- W3122573411 creator A5052654594 @default.
- W3122573411 creator A5058889501 @default.
- W3122573411 date "2017-01-01" @default.
- W3122573411 modified "2023-09-27" @default.
- W3122573411 title "Wavelet-based option pricing: An empirical study" @default.
- W3122573411 hasPublicationYear "2017" @default.
- W3122573411 type Work @default.
- W3122573411 sameAs 3122573411 @default.
- W3122573411 citedByCount "0" @default.
- W3122573411 crossrefType "posted-content" @default.
- W3122573411 hasAuthorship W3122573411A5052654594 @default.
- W3122573411 hasAuthorship W3122573411A5058889501 @default.
- W3122573411 hasConcept C10138342 @default.
- W3122573411 hasConcept C10390562 @default.
- W3122573411 hasConcept C106159729 @default.
- W3122573411 hasConcept C127413603 @default.
- W3122573411 hasConcept C149782125 @default.
- W3122573411 hasConcept C154945302 @default.
- W3122573411 hasConcept C162118730 @default.
- W3122573411 hasConcept C162324750 @default.
- W3122573411 hasConcept C186027771 @default.
- W3122573411 hasConcept C194483076 @default.
- W3122573411 hasConcept C33923547 @default.
- W3122573411 hasConcept C41008148 @default.
- W3122573411 hasConcept C47432892 @default.
- W3122573411 hasConcept C66938386 @default.
- W3122573411 hasConcept C85393063 @default.
- W3122573411 hasConcept C91602232 @default.
- W3122573411 hasConceptScore W3122573411C10138342 @default.
- W3122573411 hasConceptScore W3122573411C10390562 @default.
- W3122573411 hasConceptScore W3122573411C106159729 @default.
- W3122573411 hasConceptScore W3122573411C127413603 @default.
- W3122573411 hasConceptScore W3122573411C149782125 @default.
- W3122573411 hasConceptScore W3122573411C154945302 @default.
- W3122573411 hasConceptScore W3122573411C162118730 @default.
- W3122573411 hasConceptScore W3122573411C162324750 @default.
- W3122573411 hasConceptScore W3122573411C186027771 @default.
- W3122573411 hasConceptScore W3122573411C194483076 @default.
- W3122573411 hasConceptScore W3122573411C33923547 @default.
- W3122573411 hasConceptScore W3122573411C41008148 @default.
- W3122573411 hasConceptScore W3122573411C47432892 @default.
- W3122573411 hasConceptScore W3122573411C66938386 @default.
- W3122573411 hasConceptScore W3122573411C85393063 @default.
- W3122573411 hasConceptScore W3122573411C91602232 @default.
- W3122573411 hasLocation W31225734111 @default.
- W3122573411 hasOpenAccess W3122573411 @default.
- W3122573411 hasPrimaryLocation W31225734111 @default.
- W3122573411 hasRelatedWork W1595679218 @default.
- W3122573411 hasRelatedWork W1762610486 @default.
- W3122573411 hasRelatedWork W2037617162 @default.
- W3122573411 hasRelatedWork W2141185783 @default.
- W3122573411 hasRelatedWork W2257922412 @default.
- W3122573411 hasRelatedWork W2353933105 @default.
- W3122573411 hasRelatedWork W2588288887 @default.
- W3122573411 hasRelatedWork W2786144149 @default.
- W3122573411 hasRelatedWork W2940869216 @default.
- W3122573411 hasRelatedWork W2948080677 @default.
- W3122573411 hasRelatedWork W3037192672 @default.
- W3122573411 hasRelatedWork W3124597381 @default.
- W3122573411 hasRelatedWork W3141879421 @default.
- W3122573411 hasRelatedWork W3148058977 @default.
- W3122573411 hasRelatedWork W3161677547 @default.
- W3122573411 hasRelatedWork W3168518973 @default.
- W3122573411 hasRelatedWork W2105477584 @default.
- W3122573411 hasRelatedWork W2182959163 @default.
- W3122573411 hasRelatedWork W2277487969 @default.
- W3122573411 hasRelatedWork W2591035098 @default.
- W3122573411 isParatext "false" @default.
- W3122573411 isRetracted "false" @default.
- W3122573411 magId "3122573411" @default.
- W3122573411 workType "article" @default.