SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
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Publication:5061497
DOI10.1142/S0219024921500400zbMath1484.91515arXiv2109.08738OpenAlexW3216044663MaRDI QIDQ5061497
Svetlana Boyarchenko, J. Lars Kyrkby, Zhen-Yu Cui, Sergei Levendorskii
Publication date: 11 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.08738
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
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