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

被引：2
|
作者：
Boyarchenko, Svetlana [1 ]
Levendorskii, Sergei [2 ]
Kyrkby, J. Lars [3 ]
Cui, Zhenyu [4 ]
机构：
[1] Univ Texas Austin, Dept Econ, 2225 Speedway Stop C3100, Austin, TX 78712 USA
[2] Cal Sci Consulting, Austin, TX 78748 USA
[3] Georgia Inst Technol, ISYE, 755 Ferst Dr, Atlanta, GA 30313 USA
[4] Stevens Inst Technol, Sch Business, Hoboken, NJ 07030 USA
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2021年 / 24卷 / 08期
关键词：
Options pricing; inverse Fourier transform; sinh-acceleration; barrier options; B-splines; STOCHASTIC VOLATILITY MODELS; WIENER-HOPF FACTORIZATION; 1ST-TOUCH DIGITAL OPTIONS; CLIQUET-STYLE GUARANTEES; CREDIT DEFAULT SWAPS; BARRIER OPTIONS; LEVY MODELS; FRAME DUALITY; TRANSFORM; PRICES;
D O I：
10.1142/S0219024921500400
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration technique. This allows us to efficiently separate the control of different sources of errors better than the FFT-based realization allows; in many cases, the CPU time decreases as well. We demonstrate the improvement of the B-spline projection method through several numerical experiments in option pricing, including European and barrier options, where the SINH acceleration technique proves to be robust and accurate.
引用
收藏
页数：50
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