Wavelet-based option pricing: An empirical study

Business & Economics

• Wavelets 99%
• Option Pricing 86%
• Empirical Study 52%
• Neural Networks 50%
• Option Pricing Model 50%
• Moment Generating Function 32%
• Index Options 26%
• Black-Scholes Model 25%
• Jump 24%
• Stochastic Volatility Model 23%
• Forecasting Performance 23%
• Option Prices 22%
• Alternative Models 21%
• Hedging 19%
• Leverage 16%
• Performance 16%
• Alternatives 10%

Mathematics

• Option Pricing 100%
• Empirical Study 96%
• Wavelets 75%
• Model 27%
• Neural Networks 22%
• Black-Scholes Model 16%
• Stochastic Volatility Model 16%
• Hedging 15%
• Leverage 15%
• Alternatives 15%
• Performance 14%
• Moment generating function 14%
• Forecasting 13%
• Jump 10%

Engineering & Materials Science

• Costs 32%
• Neural networks 12%
• Stochastic models 11%