Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
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Updated
Aug 30, 2020 - Python
Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
Code for the Paper "Physics-Informed Gaussian Process Regression Generalizes Linear PDE Solvers"
Collocation methods for trajectory optimization for second or higher order systems.
This repository describes the application of numerical Collocation method in Machine Learning as a Supervised learning algorithm
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