The COS method for option valuation under the SABR dynamics

DOI10.1080/00207160.2017.1290438zbMath1390.91328OpenAlexW2587419006MaRDI QIDQ4641563

Z. van der Have, Cornelis W. Oosterlee

Publication date: 17 May 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2017.1290438

zbMATH Keywords

backward stochastic differential equationRichardson extrapolationCOS methodEuler-Maruyama schemeSABR

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for trigonometric approximation and interpolation (65T40)

Related Items (1)

A Fourier transform method for solving backward stochastic differential equations

Uses Software

• BENCHOP

Cites Work

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