Option pricing with orthogonal polynomial expansions
نویسندگان
چکیده
منابع مشابه
Orthogonal polynomial expansions for the matrix exponential
Many different algorithms have been suggested for computing the matrix exponential. In this paper, we put forward the idea of expanding in either Chebyshev, Legendre or Laguerre orthogonal polynomials. In order for these expansions to converge quickly, we cluster the eigenvalues into diagonal blocks and accelerate using shifting and scaling.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2019
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12226