SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497): Difference between revisions

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scientific article; zbMATH DE number 7488287

Language	Label	Description	Also known as
English	SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS	scientific article; zbMATH DE number 7488287

Statements

scholarly article

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SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (English)

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Svetlana Boyarchenko

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Sergei Levendorskii

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International Journal of Theoretical and Applied Finance

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publication date

11 March 2022

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full work available at URL

https://arxiv.org/abs/2109.08738

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zbMATH Keywords

options pricing

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inverse Fourier transform

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sinh-acceleration

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barrier options

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B-splines

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MaRDI profile type

MaRDI publication profile

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Multi-precision Laplace transform inversion

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The Fourier-series method for inverting transforms of probability distributions

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Numerical inversion of probability generating functions

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Processes of normal inverse Gaussian type

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Feller processes of normal inverse Gaussian type

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PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER

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PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

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VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES

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Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method

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OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

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EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS

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EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

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SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS

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Conformal accelerations method and efficient evaluation of stable distributions

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Static and semistatic hedging as contrarian or conformist bets

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Saddlepoint methods for option pricing

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An introduction to frames and Riesz bases

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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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A data-driven framework for consistent financial valuation and risk measurement

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Fourier integral operators

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A fast algorithm for computing integrals in function spaces: Financial applications

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

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PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

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An exact analytical solution for discrete barrier options

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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

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A basis theory primer.

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Pricing discrete barrier options and credit default swaps under Lévy processes

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Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

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An Efficient Transform Method for Asian Option Pricing

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Robust barrier option pricing by frame projection under exponential Lévy dynamics

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Static hedging and pricing of exotic options with payoff frames

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SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

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An analysis of dollar cost averaging and market timing investment strategies

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Equity-linked guaranteed minimum death benefits with dollar cost averaging

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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Meromorphic Lévy processes and their fluctuation identities

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Early exercise boundary and option prices in Lévy driven models

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PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES

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EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

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METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES

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Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

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Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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The Variance Gamma Process and Option Pricing

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Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection

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Summary of Sinc numerical methods

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On the approximation power of convolution-based least squares versus interpolation

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Computing the Gerber–Shiu function by frame duality projection

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Valuing equity-linked death benefits in general exponential Lévy models

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Identifiers

zbMATH Open document ID

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10.1142/S0219024921500400

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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