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SINH-acceleration for B-spline projection with Option Pricing Applications

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  • Svetlana Boyarchenko
  • Sergei Levendorskiu{i}
  • J. Lars Kirkby
  • Zhenyu Cui

Abstract

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.

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  • Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
    • Handle: RePEc:arx:papers:2109.08738
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    Cited by:

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    2. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.

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