Erschienen in:Federal Reserve Bank of Kansas City Working Paper ; No. 08-10
Umfang:
1 Online-Ressource (46 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1335300
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2008 erstellt
Beschreibung:
We use simulation-based techniques to compare and contrast two methods for solving state-dependent pricing models: discretization, which solves and simulates the model on a grid; and collocation, which relies on Chebyshev polynomials. While both methods produce qualitatively similar results, statistically significant quantitative differences do arise. We present evidence favoring discretization over collocation in this context, given a lack of robustness in the latter