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On the data-driven COS method - MaRDI portal

On the data-driven COS method (Q2422825)

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English
On the data-driven COS method
scientific article

    Statements

    title
    On the data-driven COS method (English)
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    author
    Álvaro Leitao
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    Luis Ortiz-Gracia
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    Sander M. Bohte
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    Cornelis W. Oosterlee
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    publication date
    21 June 2019
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    zbMATH Keywords
    COS method
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    density estimation
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    data-driven approach
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    Greeks
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    delta-gamma approach
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    SABR model
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    62P05
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    91G20
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    zbMATH DE Number
    7069909
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    OpenAlex ID
    W2595888202
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