Solution of option pricing equations using orthogonal polynomial expansion

DOI10.21136/AM.2021.0361-19arXiv1912.06533MaRDI QIDQ6331061

Jan Pospíšil, Falko Baustian, Kateřina Filipová

Publication date: 13 December 2019

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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