A New Approach for American Option Pricing: The Dynamic Chebyshev Method

Kathrin Glau, Mirco Mahlstedt, Christian Pötz. A New Approach for American Option Pricing: The Dynamic Chebyshev Method. SIAM J. Scientific Computing, 41(1), 2019. [doi]

Authors

Kathrin Glau

This author has not been identified. Look up 'Kathrin Glau' in Google

Mirco Mahlstedt

This author has not been identified. Look up 'Mirco Mahlstedt' in Google

Christian Pötz

This author has not been identified. Look up 'Christian Pötz' in Google