Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560)
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scientific article; zbMATH DE number 7396167
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solution of option pricing equations using orthogonal polynomial expansion. |
scientific article; zbMATH DE number 7396167 |
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Solution of option pricing equations using orthogonal polynomial expansion. (English)
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16 September 2021
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orthogonal polynomial expansion
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Hermite polynomial
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Laguerre polynomial
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Heston model
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option pricing
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0.95331204
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0.8829556
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0.8767658
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0.8750639
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0.8734916
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0.8733927
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0.8673431
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0.8664452
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