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SINH-acceleration for B-spline projection with Option Pricing Applications

Svetlana Boyarchenko (), Sergei Levendorski\u{i}, J. Lars Kirkby and Zhenyu Cui

Papers from arXiv.org

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.

Date: 2021-09
New Economics Papers: this item is included in nep-isf
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Journal Article: SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (2021) Downloads
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