Option pricing with Legendre polynomials (Q2628349)

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Option pricing with Legendre polynomials
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    Statements

    title
    Option pricing with Legendre polynomials (English)
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    author
    Julien Hok
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    Ron Tat Lung Chan
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    publication date
    1 June 2017
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    zbMATH Keywords
    Legendre polynomials
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    Fourier series
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    characteristic function
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    European option pricing
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    Olver algorithm
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65T50
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    91G20
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    42C10
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    41A58
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    zbMATH DE Number
    6725191
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