More Robust Pricing of European Options Based on Fourier Cosine Series Expansions

Fabien Le Floc'h

Papers from arXiv.org

Abstract: 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.

Date: 2020-05, Revised 2020-06
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2005.13248

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