Two-dimensional Fourier cosine series expansion method for pricing financial options
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Publication:4903748
DOI10.1137/120862053zbMATH Open1258.91222OpenAlexW2123317156MaRDI QIDQ4903748FDOQ4903748
Authors: M. J. Ruijter, Cornelis W. Oosterlee 
Publication date: 24 January 2013
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/120862053
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Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical methods for discrete and fast Fourier transforms (65T50)
Cited In (68)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- A novel pricing method for European options based on Fourier-cosine series expansions
- Approximating the density of the time to ruin via Fourier-cosine series expansion
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- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
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- Rational models for inflation-linked derivatives
- Volatility swaps and volatility options on discretely sampled realized variance
- Efficient pricing of European options on two underlying assets by frame duality
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- A finite volume-alternating direction implicit approach for the calibration of stochastic local volatility models
- The COS method for option valuation under the SABR dynamics
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- Pricing options under stochastic volatility with Fourier-cosine series expansions
- Efficient option pricing methods based on Fourier series expansions
- Fourier-cosine method for finite-time Gerber-Shiu functions
- On the data-driven COS method
- ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
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- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
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- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
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- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- High-order ADI scheme for option pricing in stochastic volatility models
- Efficient numerical Fourier methods for coupled forward-backward SDEs
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
- On the Fourier cosine series expansion method for stochastic control problems.
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- The COS method for pricing options under uncertain volatility
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Fractional factorial designs for Fourier-cosine models
- Precise option pricing by the COS method -- how to choose the truncation range
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Binomial tree method for option pricing: discrete cosine transform approach
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- Semi-analytical prices for lookback and barrier options under the Heston model
- Pricing American options by a Fourier transform multinomial tree in a conic market
- Pricing of spread and exchange options in a rough jump-diffusion market
- BENCHOP -- the benchmarking project in option pricing
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- High-order methods for the option pricing under multivariate rough volatility models
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- Pricing two-asset rainbow options with the fast Fourier transform
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- A generalized integral equation formulation for pricing American options under regime-switching model
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Algorithmic counterparty credit exposure for multi-asset Bermudan options
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- On the number of terms in the COS method for European option pricing
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
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