Chebyshev Interpolation for Parametric Option Pricing

Understand

Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time.

• Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk management on the other.
• To address the resulting computational challenges, it is natural to exploit the recurrent nature of these tasks.
• We concentrate on Parametric Option Pricing (POP) and show that polynomial interpolation in the parameter space promises to reduce run-times while maintaining accuracy.