
handle: 10419/26353
This paper suggests a simple method based on a Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. It consists in determining the value function by using a set of nodes and basis functions. We provide two examples: pricing a European option and determining the best policy for shutting down a machine. The suggested method is flexible, easy to programme and efficient. It is also applicable in other fields, providing efficient solutions to complex systems of partial differential equations.
ddc:330, Chebyshev nodes, European options, C63, Optionspreistheorie, European options, Chebyshev polynomial approximation, Chebyshev nodes, G12, Chebyshev polynomial approximation, dewey330, Analysis, Theorie, jel: jel:C63, jel: jel:G12
ddc:330, Chebyshev nodes, European options, C63, Optionspreistheorie, European options, Chebyshev polynomial approximation, Chebyshev nodes, G12, Chebyshev polynomial approximation, dewey330, Analysis, Theorie, jel: jel:C63, jel: jel:G12
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