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

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024921500400 ◽

2021 ◽

Author(s):

Svetlana Boyarchenko ◽

Sergei Levendorskii ◽

J. Lars Kirkby ◽

Zhenyu Cui

Keyword(s):

Option Pricing ◽

Download Full-text

Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2015.02.018 ◽

2015 ◽

Vol 69 (8) ◽

pp. 777-797 ◽

Author(s):

Reza Mohammadi

Keyword(s):

Option Pricing ◽

Spline Collocation ◽

B Spline ◽

Black Scholes ◽

Collocation Approach

Download Full-text

A Novel Fourier Transform B-Spline Method for Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.2269370 ◽

2013 ◽

Author(s):

Gareth Gordon Haslip ◽

Vladimir K. Kaishev

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Spline Method ◽

Download Full-text

Option pricing under a Markov modulated model using a cubic B-spline collocation method

International Journal of Business Intelligence and Data Mining ◽

10.1504/ijbidm.2014.068459 ◽

2014 ◽

Vol 9 (4) ◽

pp. 356 ◽

Author(s):

Geraldine Tour ◽

Désiré Yannick Tangman

Keyword(s):

Option Pricing ◽

Collocation Method ◽

Spline Collocation ◽

B Spline ◽

Spline Collocation Method ◽

Markov Modulated

Download Full-text

Look-Back Option Pricing Using the Fourier Transform B-Spline Method

SSRN Electronic Journal ◽

10.2139/ssrn.2306729 ◽

2013 ◽

Author(s):

Gareth Gordon Haslip ◽

Vladimir K. Kaishev

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Spline Method ◽

B Spline ◽

Look Back ◽

The Fourier Transform

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.3921840 ◽

2021 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii ◽

Justin Kirkby ◽

Zhenyu Cui

Keyword(s):

Option Pricing ◽

Download Full-text

Lookback option pricing using the Fourier transform B-spline method

Quantitative Finance ◽

10.1080/14697688.2014.882010 ◽

2014 ◽

Vol 14 (5) ◽

pp. 789-803 ◽

Author(s):

Gareth G. Haslip ◽

Vladimir K. Kaishev

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Spline Method ◽

B Spline ◽

Lookback Option ◽

The Fourier Transform

Download Full-text

A novel Fourier transform B-spline method for option pricing

The Journal of Computational Finance ◽

10.21314/jcf.2015.308 ◽

2015 ◽

Vol 19 (1) ◽

pp. 41-74 ◽

Author(s):

Gareth G. Haslip ◽

Vladimir K. Kaishev

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Spline Method ◽

Download Full-text

Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection

SSRN Electronic Journal ◽

10.2139/ssrn.2530216 ◽

2014 ◽

Author(s):

Justin Lars Kirkby

Keyword(s):

Option Pricing ◽

Characteristic Functions ◽

Download Full-text

Swing Option Pricing by Dynamic Programming with B-spline Density Projection

SSRN Electronic Journal ◽

10.2139/ssrn.3464984 ◽

2019 ◽

Author(s):

Justin Kirkby ◽

Shijie Deng

Keyword(s):

Dynamic Programming ◽

Option Pricing ◽

B Spline ◽

Download Full-text

Valuation of Default Risks in Percentage Leases in Option Pricing Framework

10.15396/eres2003_157 ◽

2003 ◽

Keyword(s):

Option Pricing ◽

Default Risks ◽

Pricing Framework

Download Full-text