Timeline and Wavelets Method for Pricing Cash-or-Nothing Options
نویسندگان
1 Department of Mathematics, Khansar Campus, University of Isfahan, Isfahan, I. R. Iran
2 Department of Mathematics and Statistics, University of Vaasa, P.O. Box 700, Fin-65101 Vaasa, Finland
doi
10.22052/mir.2024.253952.1448چکیده
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.
