Option pricing with Legendre polynomials (Q2628349)

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Option pricing with Legendre polynomials
scientific article

    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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    cites work
    Q3374320
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    Q3109238
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    Q3269770
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    Q5722964
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    Q3215519
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    Q4095322
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    Q3579593
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    Q2771113
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    Q5263442
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    Q3207312
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    Q4004325
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    Q3594586
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    Q4504336
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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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    OpenAlex ID
    W2530978410
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    arXiv ID
    1610.03086
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