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http://hdl.handle.net/11422/8593
Especie: | Artigo |
Título : | Option pricing from wavelet-filtered financial series |
Autor(es)/Inventor(es): | Almeida, Victor Thadeu Xavier de Moriconi, Luca |
Resumen: | Indisponível. |
Resumen: | 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. |
Materia: | Dynamical hedgingN on-gaussian markets Financial time series analysis |
Materia CNPq: | CNPQ::CIENCIAS EXATAS E DA TERRA::FISICA::AREAS CLASSICAS DE FENOMENOLOGIA E SUAS APLICACOES::DINAMICA DOS FLUIDOS |
Unidade de producción: | Núcleo Interdisciplinar de Dinâmica dos Fluidos |
Editor: | Elsevier |
Es parte de: | Physica A: Statistical Mechanics and its Applications |
Volumen: | 391 |
Número: | 20 |
Fecha de publicación: | 22-may-2012 |
DOI: | 10.1016/j.physa.2012.05.030 |
País de edición : | Brasil |
Idioma de publicación: | eng |
Tipo de acceso : | Acesso Aberto |
ISSN: | 0378-4371 |
Aparece en las colecciones: | Engenharias |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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2012_MORICONI_PA_v391_p4850-4854-min.pdf | 161.69 kB | Adobe PDF | Visualizar/Abrir |
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