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

Code

• github.com/jherekhealy/CharFuncPricing.jl/blob/master/src/Cos.jl
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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.

Reproductions