NUFFT for the Fast COS Method

Fabien LeFloc'h

Papers from arXiv.org

Abstract: The COS method is a very efficient way to compute European option prices under L\'evy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, thus allowing to price many options of the same maturity but different strikes at an unprecedented speed.

Date: 2025-07, Revised 2025-07
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