Year: 2024
Type: article
Abstract: This study investigates the application of the Haar wavelet method as an innovative and effective approach for valuing financial derivatives, particularly cash-or-nothing options. Valuing derivatives is a complex task in finance, requiring advanced numerical methods that can adapt to various models and scenarios. Cash-or-nothing options are popular for their simplicity and cost-effectiveness in market speculation and risk hedging, but their pricing is challenging due to several influencing factors. The study provides a comprehensive overview of the Haar wavelet method, demonstrating through numerical examples its precision and stability in option pricing. Additionally, it examines critical risk parameters, such as delta and gamma, essential for managing and hedging risks associated with these options.
Source: Osuva (University of Vaasa)
Authors: Saeed Vahdati, Foad Shokrollahi
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6907385515
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