Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
| dc.contributor.author | Černá, Dana | |
| dc.date.accessioned | 2019-08-30T07:10:48Z | |
| dc.date.available | 2019-08-30T07:10:48Z | |
| dc.date.issued | 2019-01 | |
| dc.description.abstract | 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 L-2 (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. | cs |
| dc.identifier.orcid | 0000-0003-3259-8919 Černá, Dana | |
| dc.identifier.uri | https://dspace.tul.cz/handle/15240/153347 | |
| dc.identifier.uri | https://www.worldscientific.com/doi/pdf/10.1142/S0219691318500613 | |
| dc.language.iso | cs | cs |
| dc.relation.ispartof | INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING | |
| dc.subject | Wavelet | cs |
| dc.subject | cubic spline | cs |
| dc.subject | short support | cs |
| dc.subject | Galerkin method | cs |
| dc.subject | option pricing | cs |
| dc.subject | Kou model | cs |
| dc.title | Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model | cs |
| local.article.number | 1850061 | |
| local.identifier.publikace | 5701 | |
| local.relation.issue | 1 | |
| local.relation.volume | 17 |