A New Approach for American Option Pricing: The Dynamic Chebyshev Method
type: Item
instance of: scholarly article
title: A New Approach for American Option Pricing: The Dynamic Chebyshev Method
zbMATH Open document ID: 1419.91648
DOI: 10.1137/18M1193001
author: Kathrin Glau
author: Mirco Mahlstedt
author: Christian Pötz
published in: SIAM Journal on Scientific Computing
publication date: 2019-03-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/1806.05579
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65D05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 41A10
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 7035527
zbMATH Keywords: American option pricing
zbMATH Keywords: complexity reduction
zbMATH Keywords: dynamic programming
zbMATH Keywords: polynomial interpolation
describes a project that uses: BENCHOP
describes a project that uses: Chebfun
MaRDI profile type: MaRDI publication profile
arXiv ID: 1806.05579
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Wikidata QID: Q128350642
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description: scientific article; zbMATH DE number 7035527