We introduce a new approach on shape preserving estimation of cumulative distribution functions and probability density functions using the wavelet methodology for multivariate de- pendent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one,...

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial...

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...

We introduce a fast and widely applicable numerical pricing method that uses recursive projections. The method is based on a simple grid sampling of value functions and state-price densities. Numerical illustrations with different American and Bermudan payoffs with dividend paying stocks in the...

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial...