SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS

DOI10.1142/S0219024921500400zbMath1484.91515arXiv2109.08738MaRDI 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

zbMATH Keywords

B-splines; inverse Fourier transform; barrier options; options pricing; sinh-acceleration

Mathematics Subject Classification ID

65D07: Numerical computation using splines

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65T50: Numerical methods for discrete and fast Fourier transforms

Related Items

Closed-form option pricing for exponential Lévy models: a residue approach

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