SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko (),
J. Lars Kirkby and
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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.
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Journal Article: SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2109.08738
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