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Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density function rapidly and accurately. Based on this representation for the density function, approximations formulas for pricing European type options are derived. To obtain highly accurate result for European call option, the implementation involves integrating high degree Legendre polynomials against exponential function. Some numerical instabilities arise because of serious subtractive cancellations in its formulation (96) in Proposition A.1. To overcome this difficulty, we rewrite this quantity as solution of a second-order linear difference equation and solve it using a robust and stable algorithm from Olver. Derivation of the pricing method has been accompanied by an error analysis. Errors bounds have been derived and the study relies more on smoothness properties which are not provided by the payoff functions, but rather by the density function of the underlying stochastic models. This is particularly relevant for options pricing where the payoffs of the contract are generally not smooth functions. The numerical experiments on a class of models widely used in quantitative finance show exponential convergence. [ABSTRACT FROM AUTHOR]

In the circular restricted three-body problem (CR3BP), transit orbit is a class of orbit which can pass through the bottleneck region of the zero velocity curve and escapes from the vicinity of the primary or the secondary. This kind of orbit plays a very important role in the design of space exploration missions. A kind of low-energy interplanetary transfer, which is called Interplanetary Superhighway (IPS), can be realized by utilizing transit orbits. To use the transit orbit in actual mission design, a key issue is to find an algorithm which can separate the states corresponding to transit orbits from the states corresponding to other types of orbits rapidly. In fact, the distribution of transit orbit in the phase space has been investigated by numerical method, and a Fourier series approximation method has been introduced to describe the boundary of transit orbits. However, the Fourier series approximation method needs several hundred sets of Fourier series. The coefficients of these Fourier series are neither easy to be computed nor convenient to be stored, which makes the method can hardly be used in actual mission design. In this paper, the support vector machine (SVM) is used to classify the trajectories in the CR3BP. Using the Gaussian kernel, the 6-dimensional states in the CR3BP are mapped into an infinite-dimensional space, and the bound of the transit orbits is described by a hyperplane. A training data generation method is introduced, which reduces the size of training data by generating the states near the hyperplane. The numerical results show that the proposed algorithm gives the good correct rate of classification, and its computing speed is much faster than that of the Fourier series approximation method. [ABSTRACT FROM AUTHOR]

Abstract: A rapidly convergent series, based on Fourier expansion of the exponential multiplier, is presented for highly accurate approximation of the Voigt function (VF). The corresponding algorithm enables the rapid calculation, required for its implementation as a subprogram in an interpolation approach. The numerical analysis of this VF approximation suggests that it may be more accurate than 10−9 in the Humlíček regions 3 and 4. [Copyright &y& Elsevier]