Valuation of American options via basis functions.

Tze Leung Lai Samuel Po-Shing Wong

Published in: IEEE Trans. Autom. Control. (2004)

Keyphrases

basis functions
linear combination
radial basis function
b spline
state space
spherical harmonics
real option
series expansion
wavelet analysis
matching pursuit
hilbert transform
zernike moments
low order
graph laplacian
laplace beltrami
linear approximation