Chebyshev reduced basis function applied to option valuation
Author:
Funder
MINECO, Agencia estatal de investigación
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/article/10.1007/s10287-017-0287-4/fulltext.html
Reference30 articles.
1. Achdou Y, Pironneau O (2007) Finite element method for option pricing. Université Pierre et Marie Curie, Paris
2. Balajewicz M, Toivanen J (2016) Reduced order models for pricing American options under stochastic volatility and jump-diffusion models. Proced Comput Sci 80:734–743
3. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Political Econ 81:637–654
4. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econ 31:307–327
5. Bollerslev T, Engle R, Nelson D (1994) Arch models, handbook of econometrics (IV). Elsevier, New York
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