Chebyshev interpolation for parametric option pricing

Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair. Chebyshev interpolation for parametric option pricing. Finance and Stochastics, 22(3):701-731, 2018. [doi]

Authors

Maximilian Gaß

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Kathrin Glau

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Mirco Mahlstedt

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Maximilian Mair

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