Using Chebyshev polynomials to approximate partial differential equations
DOI10.1007/S10614-009-9172-8zbMATH Open1182.93119OpenAlexW2023990746MaRDI QIDQ2268983FDOQ2268983
Authors: 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
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Derivative securities (option pricing, hedging, etc.) (91G20) Best approximation, Chebyshev systems (41A50) Production models (90B30) Optimal stochastic control (93E20)
Cites Work
- The pricing of options and corporate liabilities
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- Valuing American options by simulation: a simple least-squares approach
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- Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
Cited In (10)
- Multi-variable regression methods using modified Chebyshev polynomials of class 2
- Chebyshev polynomial approximation for high‐order partial differential equations with complicated conditions
- Cross-validation based weights and structure determination of Chebyshev-polynomial neural networks for pattern classification
- Using Chebyshev polynomials to approximate partial differential equations: a reply
- Title not available (Why is that?)
- Title not available (Why is that?)
- Hybrid Chebyshev polynomial scheme for solving elliptic partial differential equations
- Term structure of interest rates estimation using rational Chebyshev functions
- Title not available (Why is that?)
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