9 citations · 10 across the 3 of their papers we have counts for
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q-fin.CP2018
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…
q-fin.CP2015★ 9 cited
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…