NUFFT for the Fast COS Method

Published 17 Jul 2025 in q-fin.CP and q-fin.PR | (2507.13186v1)

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.

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Fabien LeFloc'h

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