A New Approach for American Option Pricing: The Dynamic Chebyshev Method

DOI10.1137/18M1193001zbMath1419.91648arXiv1806.05579WikidataQ128350642 ScholiaQ128350642MaRDI QIDQ4628394

Christian Pötz, Mirco Mahlstedt, Kathrin Glau

Publication date: 13 March 2019

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.05579

zbMATH Keywords

dynamic programmingAmerican option pricingpolynomial interpolationcomplexity reduction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05) Approximation by polynomials (41A10)

Related Items (3)

Improved error bound for multivariate Chebyshev polynomial interpolation ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ Speed-up credit exposure calculations for pricing and risk management

Uses Software

• Chebfun
• BENCHOP

Cites Work

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• Monte Carlo Methods and Models in Finance and Insurance
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Option pricing when underlying stock returns are discontinuous

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