Caporale, Guglielmo Maria; Cerrato, Mario - Department of Economics, Adam Smith Business School - 2008
CHEBYSHEV POLYNOMIAL APPROXIMATION TO
APPROXIMATE PARTIAL DIFFERENTIAL EQUATIONS
Guglielmo Maria Caporale …: European Options, Chebyshev Polynomial Approximation, Chebyshev Nodes
Corresponding author: Professor Guglielmo Maria …. We suggest using a Chebyshev polynomial. This
is defined as
4
:
))cos(cos()( sias
i
=Γ ni ,...,1,0=
with ,1)(
0 …