Papers
Topics
Authors
Recent
Search
2000 character limit reached

Pricing European Options by Stable Fourier-Cosine Series Expansions

Published 4 Jan 2017 in q-fin.CP and q-fin.MF | (1701.00886v2)

Abstract: The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier cosine series expansion. The Stability of the pricing methods is demonstrated by error analysis, as well as by a series of numerical examples, including the Heston stochastic volatility model, Kou jump-diffusion model, and CGMY model.

Summary

No one has generated a summary of this paper yet.

Sign Up to Summarize

Paper to Video (Beta)

No one has generated a video about this paper yet.

Sign Up to Generate All Videos Subscribe on YouTube

Whiteboard

No one has generated a whiteboard explanation for this paper yet.

Sign Up to Generate

Open Problems

We haven't generated a list of open problems mentioned in this paper yet.

Generate Now

Continue Learning

We haven't generated follow-up questions for this paper yet.

Generate Now

Authors (1)

  1. Chunfa Wang 

Collections

Sign up for free to add this paper to one or more collections.

Sign Up