Please use this identifier to cite or link to this item:
http://hdl.handle.net/11422/8593
| Type: | Artigo |
| Title: | Option pricing from wavelet-filtered financial series |
| Author(s)/Inventor(s): | Almeida, Victor Thadeu Xavier de Moriconi, Luca |
| Abstract: | Indisponível. |
| Abstract: | We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day. |
| Keywords: | Dynamical hedgingN on-gaussian markets Financial time series analysis |
| Subject CNPq: | CNPQ::CIENCIAS EXATAS E DA TERRA::FISICA::AREAS CLASSICAS DE FENOMENOLOGIA E SUAS APLICACOES::DINAMICA DOS FLUIDOS |
| Production unit: | Núcleo Interdisciplinar de Dinâmica dos Fluidos |
| Publisher: | Elsevier |
| In: | Physica A: Statistical Mechanics and its Applications |
| Volume: | 391 |
| Issue: | 20 |
| Issue Date: | 22-May-2012 |
| DOI: | 10.1016/j.physa.2012.05.030 |
| Publisher country: | Brasil |
| Language: | eng |
| Right access: | Acesso Aberto |
| ISSN: | 0378-4371 |
| Appears in Collections: | Engenharias |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2012_MORICONI_PA_v391_p4850-4854-min.pdf | 161.69 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.