SINH-Acceleration for B-Spline Projection with Option Pricing Applications
SINH-Acceleration for B-Spline Projection with Option Pricing Applications
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 …