2020/05/27 by Fabien Le Floc’h, Floc'h, Fabien Le · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Capital Investment and Risk Analysis
paper · pdf · doi:10.48550/arxiv.2005.13248
We present an alternative formula to price European options through cosine series expansions, under models with a known characteristic function such as the Heston stochastic volatility model. It is more robust across strikes and as fast as the original COS method.