Using Chebyshev polynomials to approximate partial differential equations

DOI10.1007/s10614-009-9172-8zbMath1182.93119OpenAlexW2023990746MaRDI QIDQ2268983

Guglielmo Maria Caporale, Mario Cerrato

Publication date: 15 March 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: http://repository.londonmet.ac.uk/474/1/CentreForInternationalCapitalMarketsDiscussionPapers_2008-10_p01-15.pdf

zbMATH Keywords

Chebyshev nodesEuropean optionsChebyshev polynomial approximation

Mathematics Subject Classification ID

Production models (90B30) Optimal stochastic control (93E20) Best approximation, Chebyshev systems (41A50) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Multi-variable regression methods using modified Chebyshev polynomials of class 2 ⋮ Cross-validation based weights and structure determination of Chebyshev-polynomial neural networks for pattern classification ⋮ Term structure of interest rates estimation using rational Chebyshev functions ⋮ Using Chebyshev polynomials to approximate partial differential equations: a reply

Uses Software

• CompEcon

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Valuing American Options by Simulation: A Simple Least-Squares Approach

This page was built for publication: Using Chebyshev polynomials to approximate partial differential equations