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 | |
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2012_MORICONI_PA_v391_p4850-4854-min.pdf | 161.69 kB | Adobe PDF | View/Open |
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