most citedSolution of option pricing equations using orthogonal polynomial expansion

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q-fin.PR2019★ 2 cited

Solution of option pricing equations using orthogonal polynomial expansion

Falko Baustian, Kateřina Filipová, Jan Pospíšil

In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabo…