Chebyshev interpolation for parametric option pricing (Q1650947)

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Chebyshev interpolation for parametric option pricing
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    Statements

    title
    Chebyshev interpolation for parametric option pricing (English)
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    author
    Maximilian Gaß
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    Kathrin Glau
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    Mirco Mahlstedt
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    Maximilian L. Mair
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    publication date
    16 July 2018
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    zbMATH Keywords
    multivariate option pricing
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    complexity reduction
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    (tensorized) Chebyshev polynomials
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    polynomial interpolation
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    Fourier transform methods
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    Monte Carlo
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    parametric Monte Carlo
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    online-offline decomposition
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    cites work
    Q4331490
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    Q4095322
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    The Lévy LIBOR model
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    Q4905685
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    Q4433869
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    Q4791752
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    Q4486401
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    Q5397343
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    Q4800025
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    Q4904857
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    Q3760934
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    41A10
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    zbMATH DE Number
    6903855
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    OpenAlex ID
    W1841486359
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    arXiv ID
    1505.04648
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