Chebyshev interpolation for parametric option pricing (Q1650947)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Chebyshev interpolation for parametric option pricing |
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Chebyshev interpolation for parametric option pricing (English)
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16 July 2018
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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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