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

页数：50

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