Benutzer: Gast  Login
Titel:

Chebyshev Interpolation for Parametric Option Pricing (first version 2015)

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
Function approximation with Chebyshev polynomials is a well-established and thoroughly investigated method within the field of numerical analysis. The method enjoys attractive convergence properties and its implementation is straightforward. We propose to apply tensorized Chebyshev interpolation to computing Parametric Option Prices (POP). This allows us to exploit the recurrent nature of the pricing problem in an efficient, reliable and general way. For a large variety of option types and affi...     »
Stichworte:
Multivariate Option Pricing, Complexity Reduction, (Tensorized) Chebyshev Polynomial, Polynomial Interpolation, Fourier Transform Methods, Monte Carlo, Calibration, Affine Processes
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Finance and Stochastics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Band / Volume:
22
Heft / Issue:
3
Seitenangaben Beitrag:
7
Volltext / DOI:
doi:10.1007/s00780-018-0361-y
WWW:
http://arxiv.org/abs/1505.04648
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen