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.
Cite
@article{arxiv.2109.08738,
title = {SINH-acceleration for B-spline projection with Option Pricing Applications},
author = {Svetlana Boyarchenko and Sergei Levendorskiĭ and J. Lars Kirkby and Zhenyu Cui},
journal= {arXiv preprint arXiv:2109.08738},
year = {2021}
}