Chebyshev polynomial approximation to approximate partial differential equations

Guglielmo Maria Caporale and Mario Cerrato

No 2008-15, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: This paper suggests a simple method based on Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. The methodology simply consists in determining the value function by using a set of nodes and basis functions. We provide two examples. Pricing an European option and determining the best policy for chatting down a machinery. The suggested method is flexible, easy to program and efficient. It is also applicable in other fields, providing efficient solutions to complex systems of partial differential equations.

Keywords: European Options; Chebyshev Polynomial Approximation; Chebyshev Nodes (search for similar items in EconPapers)
Date: 2008
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Working Paper: Chebyshev polynomial approximation to approximate partial differential equations (2008)
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