Option pricing with Legendre polynomials

DOI10.1016/j.cam.2017.03.027zbMath1414.91412arXiv1610.03086OpenAlexW2530978410MaRDI QIDQ2628349

Julien Hok, Ron Tat Lung Chan

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

zbMATH Keywords

characteristic functionFourier seriesLegendre polynomialsEuropean option pricingOlver algorithm

Mathematics Subject Classification ID

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)

Related Items (2)

High-order exponential spline method for pricing European options ⋮ Chebyshev reduced basis function applied to option valuation

Uses Software

• DLMF

Cites Work

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