Arbeitspapier
Using chebyshev polynomials to approximate partial differential equations
This paper suggests a simple method based on a Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. It consists in determining the value function by using a set of nodes and basis functions. We provide two examples: pricing a European option and determining the best policy for shutting down a machine. The suggested method is flexible, easy to programme and efficient. It is also applicable in other fields, providing efficient solutions to complex systems of partial differential equations.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 2308
- Klassifikation
-
Wirtschaft
Computational Techniques; Simulation Modeling
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
European options
Chebyshev polynomial approximation
Chebyshev nodes
Analysis
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Cerrato, Mario
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Cerrato, Mario
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2008
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