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]
@article{GlauMP19,
title = {A New Approach for American Option Pricing: The Dynamic Chebyshev Method},
author = {Kathrin Glau and Mirco Mahlstedt and Christian Pötz},
year = {2019},
doi = {10.1137/18M1193001},
url = {https://doi.org/10.1137/18M1193001},
researchr = {https://researchr.org/publication/GlauMP19},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {41},
number = {1},
}