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

2014 ◽  
Author(s):  
Justin Lars Kirkby
Keyword(s):  
Option Pricing ◽  
Characteristic Functions ◽  
B Spline

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

2021 ◽  
Author(s):  
Svetlana Boyarchenko ◽  
Sergei Levendorskii ◽  
J. Lars Kirkby ◽  
Zhenyu Cui
Keyword(s):  
Option Pricing ◽  
B Spline

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

2021 ◽  
Author(s):  
Svetlana I. Boyarchenko ◽  
Sergei Z. Levendorskii ◽  
Justin Kirkby ◽  
Zhenyu Cui
Keyword(s):  
Option Pricing ◽  
B Spline

scholarly journals A novel Fourier transform B-spline method for option pricing

2015 ◽  
Vol 19 (1) ◽  
pp. 41-74 ◽  
Author(s):  
Gareth G. Haslip ◽  
Vladimir K. Kaishev
Keyword(s):  
Fourier Transform ◽  
Option Pricing ◽  
Spline Method ◽  
B Spline
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