Table of Links
- Bermudan option pricing and hedging
- Sparse Hermite polynomial expansion and gradient
- Algorithm and complexity
- Convergence analysis
- Numerical examples
- Conclusions and outlook, Acknowledgments, and References
3. Sparse Hermite polynomial expansion and gradient. Sparse polynomial chaos expansion can serve as a surrogate model of unknown stochastic variables with finite second-order moments. The motivations of using sparse Hermite polynomial expansion for pricing and hedging American options are twofold:
Authors:
(1) Jiefei Yang, †Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong ([email protected]);
(2) Guanglian Li, Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong ([email protected]).
This paper is
