Papers › More Robust Pricing of European Options Based on Fourier Cosine Series Expansions
More Robust Pricing of European Options Based on Fourier Cosine Series Expansions
Fabien Le Floc'h
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.
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