Chebyshev reduced basis function applied to option valuation

DOI10.1007/S10287-017-0287-4zbMath1416.91400arXiv1701.01429OpenAlexW2568608653MaRDI QIDQ1789629

Javier de Frutos, Víctor Gatón

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01429

zbMATH Keywords

Chebyshev polynomialsderivative pricingmultidimensional interpolationreduced basis functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

An extension of Heston's SV model to stochastic interest rates ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility

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