Summary
An option pricing method for European options based on the Fouriercosine series, called the COS method, is presented. It can cover underlying asset processes for which the characteristic function is known, and in this paper, in particular, we consider stochastic volatility dynamics.
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References
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Fang, F., Oosterlee, C.W. (2010). Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions. In: Fitt, A., Norbury, J., Ockendon, H., Wilson, E. (eds) Progress in Industrial Mathematics at ECMI 2008. Mathematics in Industry(), vol 15. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12110-4_133
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DOI: https://doi.org/10.1007/978-3-642-12110-4_133
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