9 citations · 10 across the 3 of their papers we have counts for
4 papers
A new approach for American option pricing: The Dynamic Chebyshev method
Kathrin Glau, Mirco Mahlstedt, Christian Pötz
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Che…
Improved error bound for multivariate Chebyshev polynomial interpolation
Kathrin Glau, Mirco Mahlstedt
Chebyshev interpolation is a highly effective, intensively studied method and enjoys excellent numerical properties. The interpolation nodes are known beforehand, implementation is…
Model reduction for calibration of American options
Olena Burkovska, Kathrin Glau, Mirco Mahlstedt +1
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. D…
Chebyshev Interpolation for Parametric Option Pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt +1
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on t…