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Title:Using chebyshev polynomials to approximate partial differential equations PDF Logo
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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