Resource title

Using chebyshev polynomials to approximate partial differential equations

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Resource description

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.

Resource author

Guglielmo Maria Caporale, Mario Cerrato

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26353

Resource license

Adapt according to the presented license agreement and reference the original author.