SINH-acceleration: efficient evaluation of probability distributions, option pricing, calibration and Monte-Carlo simulations


Characteristic functions of several popular classes of distributions and processesadmit analytic continuation into unions of strips and open coni around the real hyperplane.  In the paper, we suggest to use the Fourier... [ view full abstract ]


  1. Sergey Levendorskiy (Calico Science Consulting)
  2. Svetlana Boyarchenko (University of Texas at Austin)

Topic Areas

Numerical Methods , Simulation , Stochastic Volatility


WE-P-B2 » Asset Pricing (14:30 - Wednesday, 18th July, Beckett 2)

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