The COS Method for Pricing Options Under Uncertain Volatility

DOI10.1007/978-1-4614-3433-7_6zbMath1296.91286OpenAlexW2122312664MaRDI QIDQ2920954

M. J. Ruijter, Cornelis W. Oosterlee

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_6

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Continuous-time stochastic control and optimization with financial applications
• A computational scheme for uncertain volatility model in option pricing
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• User’s guide to viscosity solutions of second order partial differential equations
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Robust numerical methods for contingent claims under jump diffusion processes
• Numerical convergence properties of option pricing PDEs with uncertain volatility

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