SINH-ACCELERATION for B-SPLINE PROJECTION with OPTION PRICING APPLICATIONS

Svetlana Boyarchenko, Sergei Levendorskiii, J. Lars Kyrkby, Zhenyu Cui

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration technique. This allows us to efficiently separate the control of different sources of errors better than the FFT-based realization allows; in many cases, the CPU time decreases as well. We demonstrate the improvement of the B-spline projection method through several numerical experiments in option pricing, including European and barrier options, where the SINH acceleration technique proves to be robust and accurate.

Original languageEnglish
Article number2150040
JournalInternational Journal of Theoretical and Applied Finance
Volume24
Issue number8
DOIs
StatePublished - 1 Dec 2021

Keywords

  • B-splines
  • Options pricing
  • barrier options
  • inverse Fourier transform
  • sinh-acceleration

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