Buscar recursos académicos

I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I in...

The authors introduce an algorithm, called matching pursuit, that decomposes any signal into a linear expansion of waveforms that are selected from a redundant dictionary of functions. These waveforms are chosen in order...