Using Chebyshev polynomials to approximate partial differential equations

DOI10.1007/S10614-009-9172-8MaRDI QIDQ2268983zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

European optionsChebyshev nodesChebyshev polynomial approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Best approximation, Chebyshev systems (41A50) Production models (90B30) Optimal stochastic control (93E20)

Recommendations

• Using Chebyshev polynomials to approximate partial differential equations: a reply
• Neural‐network‐based approximations for solving partial differential equations
• Approximation of multivariate functions and evaluation of particular solutions using Chebyshev polynomial and trigonometric basis functions
• Chebyshev polynomial approximation for high‐order partial differential equations with complicated conditions
• Chebyshev pseudospectral approximation in time for parabolic partial differential equations

Cites work

• scientific article; zbMATH DE number 48688 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1873658 (Why is no real title available?)
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• The pricing of options and corporate liabilities
• Valuing American options by simulation: a simple least-squares approach

Cited in

(10)

• Multi-variable regression methods using modified Chebyshev polynomials of class 2
• 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
• Chebyshev polynomial approximation for high‐order partial differential equations with complicated conditions
• scientific article; zbMATH DE number 4010950 (Why is no real title available?)
• scientific article; zbMATH DE number 517312 (Why is no real title available?)
• Hybrid Chebyshev polynomial scheme for solving elliptic partial differential equations
• Term structure of interest rates estimation using rational Chebyshev functions
• scientific article; zbMATH DE number 4133418 (Why is no real title available?)
• scientific article; zbMATH DE number 3913595 (Why is no real title available?)

Describes a project that uses

Uses Software

• CompEcon

This page was built for publication: Using Chebyshev polynomials to approximate partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2268983)