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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26353
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| Title: | | Using chebyshev polynomials to approximate partial differential equations  |
| Authors: | | Caporale, Guglielmo Maria Cerrato, Mario |
| Issue Date: | | 2008 |
| Series/Report no.: | | CESifo working paper 2308 |
| Abstract: | | 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. |
| Subjects: | | European options Chebyshev polynomial approximation Chebyshev nodes |
| JEL: | | C63 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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