Chebyshev interpolation for parametric option pricing
Year of publication: |
July 2018
|
---|---|
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
|
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 |
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