SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
نویسندگان
چکیده
We clarify the relations among different Fourier-based approaches to option pricing, and improve B-spline probability density projection method using sinh-acceleration technique. This allows us efficiently separate control of sources errors better than FFT-based realization allows; in many cases, CPU time decreases as well. demonstrate improvement through several numerical experiments including European barrier options, where SINH acceleration technique proves be robust accurate.
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2021
ISSN: ['1793-6322', '0219-0249']
DOI: https://doi.org/10.1142/s0219024921500400