Skip to main content

Table 3 Recurrence law for the basis functions reported

From: Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis

 

f n (x)

a n + 1

a n

b n

a n − 1

f 0 (x)

f 1 (x)

Power

W n (x)

1

0

1

0

1

X

Legendre

P n (x)

n+1

0

2.n+1

n

1

x

Laguerre

L n (x)

n+1

2.n+1

−1

n

1

1−x

Hermite A

H n (x)

1

0

2

2.n

1

2.x