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A NEW APPROACH FOR AMERICAN OPTION PRICING: THE DYNAMIC CHEBYSHEV METHOD

dc.contributor.authorGlau, Ken_US
dc.contributor.authorMahlstedt, Men_US
dc.contributor.authorPoetz, Cen_US
dc.date.accessioned2018-11-27T13:37:23Z
dc.date.available2018-11-19en_US
dc.date.issued2019en_US
dc.date.submitted2018-11-22T13:56:46.551Z
dc.identifier.issn1064-8275en_US
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/53338
dc.format.extentB153 - B180en_US
dc.relation.ispartofSIAM JOURNAL ON SCIENTIFIC COMPUTINGen_US
dc.rightsThis is a pre-copyedited, author-produced version of an article accepted for publication in SIAM Journal on Scientific Computing following peer review
dc.subjectAmerican option pricingen_US
dc.subjectcomplexity reductionen_US
dc.subjectdynamic programmingen_US
dc.subjectpolynomial interpolationen_US
dc.titleA NEW APPROACH FOR AMERICAN OPTION PRICING: THE DYNAMIC CHEBYSHEV METHODen_US
dc.typeArticle
dc.rights.holder© 2018 Society for Industrial and Applied Mathematics
dc.identifier.doi10.1137/18M1193001en_US
pubs.author-urlhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000460118500039&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=612ae0d773dcbdba3046f6df545e9f6aen_US
pubs.issue1en_US
pubs.notesNot knownen_US
pubs.publication-statusPublisheden_US
pubs.volume41en_US


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