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Parametric Integration by Magic Point Empirical Interpolation
(Oxford University Press (OUP), 2017-12-25)
We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (2004, An empirical interpolation method: ...
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
(Society for Industrial and Applied Mathematics, 2018-07-17)
Chebyshev Interpolation for Parametric Option Pricing
(Springer Verlag, 2018-04-18)
Function approximation with Chebyshev polynomials is a well-established and thoroughly investigated method within the field of numerical analysis. The method enjoys attractive convergence properties and its implementation ...