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Title:

Chebyshev Interpolation for Parametric Option Pricing (first version 2015)

Document type:
Zeitschriftenaufsatz
Author(s):
Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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...     »
Keywords:
Multivariate Option Pricing, Complexity Reduction, (Tensorized) Chebyshev Polynomial, Polynomial Interpolation, Fourier Transform Methods, Monte Carlo, Calibration, Affine Processes
Intellectual Contribution:
Discipline-based Research
Journal title:
Finance and Stochastics
Journal listet in FT50 ranking:
nein
Year:
2018
Journal volume:
22
Journal issue:
3
Pages contribution:
7
Fulltext / DOI:
doi:10.1007/s00780-018-0361-y
WWW:
http://arxiv.org/abs/1505.04648
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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