A New Approach for American Option Pricing: The Dynamic Chebyshev Method

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Authors: Kathrin Glau, Mirco Mahlstedt, Christian Pötz

Journal title: SIAM Journal on Scientific Computing

Journal number: 41/1

Journal publisher: Society for Industrial and Applied Mathematics

Published year: 2019

Published pages: B153-B180

DOI identifier: 10.1137/18m1193001

ISSN: 1064-8275