A New Approach for American Option Pricing: The Dynamic Chebyshev Method
2019
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomial...
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
22
References
6
Citations
NaN
KQI