Chebyshev interpolation for parametric option pricing
نویسندگان
چکیده
منابع مشابه
Non-parametric option pricing models
The goal of non-parametric option pricing models is to price and risk mange financial derivatives in a model-free approach. Standard option pricing models need to assume a certain dynamics for the underlying. Model parameters are calibrated (or bootstrapped) to match certain conditions. These can be an exact fit to some market instruments whenever possible, a best fit otherwise, or some risk mi...
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Digital architectures for Chebyshev interpolation are explored and a variation which is word-serial in nature is proposed. These architectures are contrasted with equispaced system structures. Further, Chebyshev interpolation scheme is compared to the conventional equispaced interpolation vis-á-vis reconstruction error and relative number of samples. It is also shown that the use of a hybrid (o...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2018
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-018-0361-y