Pricing Basket Options by Polynomial Approximations

Figure 3

Prices of a spread contract with maturity between one month and one year and strike price between 0 and 3 dollars under the benchmark parametric set. (c) Difference between prices obtained for both methods.

(a) Price computed by a Monte Carlo approach

(b) Price computed by a Chebyshev expansion

(c) Difference of prices between Monte Carlo and Chebyshev