Paper Title
Derivatives Pricing with Spectrum Analysis

Spectrum analysis works well on waveform time series, especially stationary time series. Unfortunately, many financial time series are non-stationary, for example time series of index prices. In this paper, we transform a non-stationary time series of index prices into stationary, we apply wavelet extension to this transformed time series in order to forecast index prices underlying derivatives, then we price derivatives using the forecasted value as input of the payment function. Results are compared to derivatives intrinsic values, to market prices and to an analytical solution. Keywords- Derivatives pricing; spectrum analysis, wavelet analysis.