Caporale, G.M. and Cerrato, M. (2010) Using Chebyshev polynomials to approximate partial differential equations. Computational Economics, 35(3), pp. 235-244. (doi: 10.1007/s10614-009-9172-8)
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Abstract
This paper suggests a simple method based on a Chebyshev approximation at Chebyshev nodes to approximate partial differential equations (PDEs). 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 PDEs.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Cerrato, Professor Mario |
| Authors: | Caporale, G.M., and Cerrato, M. |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Computational Economics |
| ISSN: | 0927-7099 |
| ISSN (Online): | 1572-9974 |
| Published Online: | 14 March 2009 |
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