Timeline and Wavelets Method for Pricing Cash-or-Nothing Options

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annif.suggestionsoptions (securities)|pricing|mathematical models|numerical methods|security market|partial differential equations|business mathematics|prices|risk management|mathematics|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p3416|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p11401|http://www.yso.fi/onto/yso/p6588|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p12392|http://www.yso.fi/onto/yso/p9288|http://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p3134|http://www.yso.fi/onto/yso/p3160en
dc.contributor.authorVahdati, Saeed
dc.contributor.authorShokrollahi, Foad
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0003-1434-0949-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-06-24T10:26:31Z
dc.date.accessioned2025-06-25T12:42:52Z
dc.date.available2025-06-24T10:26:31Z
dc.date.issued2024
dc.description.abstractThis 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.-
dc.description.notification©2024 University of Kashan. This work is licensed under the Creative Commons Attribution 4.0 International License.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent17-
dc.format.pagerange315-331-
dc.identifier.olddbid24175
dc.identifier.oldhandle10024/19926
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/774
dc.identifier.urnURN:NBN:fi-fe2025062472984-
dc.language.isoeng-
dc.publisherUniversity of Kashan-
dc.relation.doi10.22052/mir.2024.253952.1448-
dc.relation.ispartofjournalMathematics Interdisciplinary Research-
dc.relation.issn2476-4965-
dc.relation.issn2538-3639-
dc.relation.issue3-
dc.relation.urlhttps://doi.org/10.22052/mir.2024.253952.1448-
dc.relation.volume9-
dc.rightsCC BY 4.0-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/19926
dc.subjectOption-
dc.subjectCash-or-nothing option-
dc.subjectMethod of timeline-
dc.subjectHaar wavelets-
dc.subjectBlack-Scholes model-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleTimeline and Wavelets Method for Pricing Cash-or-Nothing Options-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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