Precise option pricing by the COS method -- how to choose the truncation range

DOI10.1016/j.amc.2022.126935OpenAlexW4207032894MaRDI QIDQ2079122

Gero Junike, Konstantin Pankrashkin

Publication date: 4 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.01030

zbMATH Keywords

option pricingMarkov's inequalityCOS methodcosine expansiontruncation range

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Trigonometric approximation (42A10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)

Related Items (3)

Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)

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