Chebyshev interpolation for parametric option pricing

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Finance and Stochastics 2018 / 4

Chebyshev interpolation for parametric option pricing

Gaß, Maximilian, Glau, Kathrin, Mahlstedt, Mirco, Mair, Maximilian
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Language:
english
Journal:
Finance and Stochastics
DOI:
10.1007/s00780-018-0361-y
Date:
April, 2018
File:
PDF, 962 KB
english, 2018
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