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Showing 1 to 2 of 2 for “"Fourier Hermite Series"”.
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Option pricing in a path integral framework
… et al. Their method involves the use of a Fourier-Hermite series expansion which represents the option value at each time step. The Hermite orthogonal polynomials and their associated properties are employed to create a set of recurrence relations so that a final option pricing polynomial …
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Discrete Sparse Fourier Hermite Approximations in High Dimensions
<p>In this dissertation, the discrete sparse Fourier Hermite approximation of a function in a specified Hilbert space of arbitrary dimension is defined, and theoretical error bounds of the numerically computed approximation are proven. Computing the Fourier Hermite approximation in high dimensions …