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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 19, Fasc. 1,
pages 43 - 53
 

AN APPLICATION OF WAVELET ANALYSIS TO PRICING AND HEDGING DERIVATIVE SECURITIES

Juri Hinz

Abstract: This work provides an application of wavelet analysis to pricing and hedging path-dependent contingent claims within the framework of the Black-Scholes model.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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