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- W3200745393 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." @default.
- W3200745393 created "2021-09-27" @default.
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- W3200745393 date "2021-09-17" @default.
- W3200745393 modified "2023-09-27" @default.
- W3200745393 title "SINH-acceleration for B-spline projection with Option Pricing Applications" @default.
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