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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M. 
Titel:
Chebyshev Interpolation for Parametric Option Pricing (first version 2015) 
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 aff...    »
 
Stichworte:
Multivariate Option Pricing, Complexity Reduction, (Tensorized) Chebyshev Polynomial, Polynomial Interpolation, Fourier Transform Methods, Monte Carlo, Calibration, Affine Processes 
Zeitschriftentitel:
Working Paper 
Jahr:
2016