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

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

zbMATH Keywords

B-splinesinverse Fourier transformbarrier optionsoptions pricingsinh-acceleration

Mathematics Subject Classification ID

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)

Related Items (1)

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

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