SIAM Journal on Numerical Analysis, Vol. 52, No. 4 (2014), pp. 1913-1927 (15 pages) Polynomial interpolants defined using Chebyshev extreme points as nodes converge uniformly at a geometric rate when ...
The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...
A new method for interpolation by rational functions of prescribed numerator and denominator degrees is presented. When the interpolation nodes are roots of unity or Chebyshev points, the algorithm is ...
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