Chebyshev interpolation for parametric option pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair
| Year of publication: |
July 2018
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|---|---|
| Authors: | Gaß, Maximilian ; Glau, Kathrin ; Mahlstedt, Mirco ; Mair, Maximilian |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 3, p. 701-731
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| Subject: | Multivariate option pricing | Complexity reduction | (Tensorized) Chebyshev polynomials | Polynomial interpolation | Fourier transform methods | Monte Carlo | Parametric Monte Carlo | Online-offline decomposition | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0361-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945899