A new error decomposition framework for scaled Hermite spectral methods shows that balancing spatial and frequency truncation errors via scaling recovers geometric convergence and doubles algebraic convergence orders.
SIAM Journal on Scientific and Statistical Computing , volume =
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A matrix approximation technique computes Bachelier option prices and Greeks under stochastic volatility models for infinitely many strikes from finite expectations.
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Scaling Optimized Hermite Approximation Methods
A new error decomposition framework for scaled Hermite spectral methods shows that balancing spatial and frequency truncation errors via scaling recovers geometric convergence and doubles algebraic convergence orders.
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Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
A matrix approximation technique computes Bachelier option prices and Greeks under stochastic volatility models for infinitely many strikes from finite expectations.