Chebyshev Polynomial Approximation to Approximate Partial Differential Equations
نویسندگان
چکیده
This pa per suggests a simple method based on Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. The methodology simply consists in determining the value function by using a set of nodes and basis functions. We provide two examples. Pricing an European option and determining the best policy for chatting down a machinery. The suggested method is flexible, easy to program and efficient. It is also applicable in other fields, providing efficient solutions to complex systems of partial differential equations. JEL Classification: C63, G12
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