Computers & Mathematics with Applications
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Applied Numerical Mathematics
Journal of Computational and Applied Mathematics
On the Heston Model with Stochastic Interest Rates
SIAM Journal on Financial Mathematics
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
SIAM Journal on Financial Mathematics
The evaluation of barrier option prices under stochastic volatility
Computers & Mathematics with Applications
Heterogeneous COS pricing of rainbow options
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
Calibration of stochastic volatility models on a multi-core CPU cluster
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type
Journal of Computational and Applied Mathematics
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
Applied Numerical Mathematics
A comparative study on time-efficient methods to price compound options in the Heston model
Computers & Mathematics with Applications
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Here we develop an option pricing method for European options based on the Fourier-cosine series and call it the COS method. The key insight is in the close relation of the characteristic function with the series coefficients of the Fourier-cosine expansion of the density function. In most cases, the convergence rate of the COS method is exponential and the computational complexity is linear. Its range of application covers underlying asset processes for which the characteristic function is known and various types of option contracts. We will present the method and its applications in two separate parts. The first one is this paper, where we deal with European options in particular. In a follow-up paper we will present its application to options with early-exercise features.