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• W1841486359 startingPage "701" @default.
• W1841486359 abstract "Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real time. We concentrate on parametric option pricing (POP) as a generic instance of parametric conditional expectations and show that polynomial interpolation in the parameter space promises to considerably reduce run-times while maintaining accuracy. The attractive properties of Chebyshev interpolation and its tensorized extension enable us to identify broadly applicable criteria for (sub)exponential convergence and explicit error bounds. The method is most promising when the computation of the prices is most challenging. We therefore investigate its combination with Monte Carlo simulation and analyze the effect of (stochastic) approximations of the interpolation. For a wide and important range of problems, the Chebyshev method turns out to be more efficient than parametric multilevel Monte Carlo. We conclude with a numerical efficiency study." @default.
• W1841486359 created "2016-06-24" @default.
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• W1841486359 date "2018-04-18" @default.
• W1841486359 modified "2023-09-27" @default.
• W1841486359 title "Chebyshev interpolation for parametric option pricing" @default.
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• W1841486359 doi "https://doi.org/10.1007/s00780-018-0361-y" @default.
• W1841486359 hasPublicationYear "2018" @default.
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