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

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