Precise option pricing by the COS method -- how to choose the truncation range (Q2079122)
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scientific article; zbMATH DE number 7484240
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Precise option pricing by the COS method -- how to choose the truncation range |
scientific article; zbMATH DE number 7484240 |
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Precise option pricing by the COS method -- how to choose the truncation range (English)
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4 March 2022
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COS method
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cosine expansion
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option pricing
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truncation range
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Markov's inequality
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0.87209094
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0.86212665
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0.8365915
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0.8245646
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0.82069695
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0.81629676
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0.81471294
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0.81308424
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0.81141436
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