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

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2022-01-07 DOI:10.1142/s0219024921500400

SVETLANA BOYARCHENKO, SERGEI LEVENDORSKIĬ, J. LARS KYRKBY, ZHENYU CUI

引用次数: 0

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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带期权定价应用的b样条投影的sinh加速

澄清了基于傅里叶的期权定价方法之间的关系，并利用sinh加速技术改进了b样条概率密度投影方法。这使我们能够比基于fft的实现更好地有效地分离不同错误源的控制;在许多情况下，CPU时间也会减少。通过若干期权定价的数值实验，我们证明了b样条投影方法的改进，包括欧洲期权和障碍期权，其中SINH加速技术是鲁棒和准确的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.