TY - JOUR
T1 - SINH-ACCELERATION for B-SPLINE PROJECTION with OPTION PRICING APPLICATIONS
AU - Boyarchenko, Svetlana
AU - Levendorskiii, Sergei
AU - Kyrkby, J. Lars
AU - Cui, Zhenyu
N1 - Publisher Copyright:
© 2021 World Scientific Publishing Company.
PY - 2021/12/1
Y1 - 2021/12/1
N2 - 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.
AB - 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.
KW - B-splines
KW - Options pricing
KW - barrier options
KW - inverse Fourier transform
KW - sinh-acceleration
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U2 - 10.1142/S0219024921500400
DO - 10.1142/S0219024921500400
M3 - Article
AN - SCOPUS:85122859904
SN - 0219-0249
VL - 24
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
IS - 8
M1 - 2150040
ER -