Solution of option pricing equations using orthogonal polynomial expansion.
type: Item
instance of: scholarly article
title: Solution of option pricing equations using orthogonal polynomial expansion.
DOI: 10.21136/AM.2021.0361-19
author: Falko Baustian
author: Kateřina Filipová
author: Jan Pospíšil
published in: Applications of Mathematics
publication date: 2021-09-16T00:00:00Z
full work available at URL: https://arxiv.org/abs/1912.06533
Mathematics Subject Classification ID: 33C45
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7396167
zbMATH Keywords: orthogonal polynomial expansion
zbMATH Keywords: Hermite polynomial
zbMATH Keywords: Laguerre polynomial
zbMATH Keywords: Heston model
zbMATH Keywords: option pricing
describes a project that uses: BENCHOP
describes a project that uses: OPQ
describes a project that uses: NDSolve
describes a project that uses: Digital Library of Mathematical Functions
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 7396167