Option pricing with Legendre polynomials
DOI10.1016/j.cam.2017.03.027zbMath1414.91412arXiv1610.03086OpenAlexW2530978410MaRDI QIDQ2628349
Publication date: 1 June 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.03086
Numerical methods (including Monte Carlo methods) (91G60) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)
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