Option pricing with orthogonal polynomial expansions

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Swissquote Bank, Gland ^{[1
]}

1196, Switzerland

不详 ^{[2
]}

1015, Switzerland

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arXiv |

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摘要：

Diffusion model - Greek - Option price - Options pricing - Orthogonal polynomial - Parameter sensitivities - Polynomial diffusion model - Polynomials expansion - Series representations - Stochastic volatility

引用

共 50 条

[41] Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth
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[44] Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
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[45] Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options
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[46] Laguerre polynomial expansions
J Comput Appl Math, 1 (25):
[47] PIECEWISE POLYNOMIAL EXPANSIONS
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IEEE TRANSACTIONS ON ACOUSTICS SPEECH AND SIGNAL PROCESSING, 1977, 25 (06): : 579 - 581
[48] Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
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Peters, Gareth W.
Dias, Fabio S. (fabio.dias@stalwart.vg), 1600, Elsevier Inc. (411):
[49] On expansions in orthogonal polynomials
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Iserles, Arieh
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2013, 38 (01) : 35 - 61
[50] Combinatorial orthogonal expansions
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PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY, 1996, 124 (02) : 469 - 473

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