170 citations · 200 across the 17 of their papers we have counts for
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math.NA2016★ 1 cited
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…
math.NA2016
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…