Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F19%3A00005701" target="_blank" >RIV/46747885:24510/19:00005701 - isvavai.cz</a>
Result on the web
<a href="https://www.worldscientific.com/doi/10.1142/S0219691318500613" target="_blank" >https://www.worldscientific.com/doi/10.1142/S0219691318500613</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1142/S0219691318500613" target="_blank" >10.1142/S0219691318500613</a>
Alternative languages
Result language
angličtina
Original language name
Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
Original language description
The paper is concerned with the construction of a cubic spline wavelet basis on the unit interval and an adaptation of this basis to the first-order homogeneous Dirichlet boundary conditions. The wavelets have four vanishing moments and they have the shortest possible support among all cubic spline wavelets with four vanishing moments corresponding to B-spline scaling functions. We provide a rigorous proof of the stability of the basis in the space L2(0,1) or its subspace incorporating boundary conditions. To illustrate the applicability of the constructed bases, we apply the wavelet-Galerkin method to option pricing under the double exponential jump-diffusion model and we compare the results with other cubic spline wavelet bases and with other methods.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING
ISSN
0219-6913
e-ISSN
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Volume of the periodical
17
Issue of the periodical within the volume
1
Country of publishing house
SG - SINGAPORE
Number of pages
27
Pages from-to
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UT code for WoS article
000458647200003
EID of the result in the Scopus database
2-s2.0-85053307093