The COS method for option valuation under the SABR dynamics

DOI10.1080/00207160.2017.1290438MaRDI QIDQ4641563zbMATH OpenOpenAlexFDO

Authors Z. van der Have, Cornelis W. Oosterlee

Publication date 17 May 2018

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

backward stochastic differential equationCOS methodEuler-Maruyama schemeRichardson extrapolationSABR

Mathematics Subject Classification ID

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

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Cites work

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• A novel pricing method for European options based on Fourier-cosine series expansions
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• ADI finite difference schemes for option pricing in the Heston model with correlation
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• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Robust pricing of European options with wavelets and the characteristic function
• The pricing of options and corporate liabilities
• Two-dimensional Fourier cosine series expansion method for pricing financial options

Cited in

(7)

• Precise option pricing by the COS method -- how to choose the truncation range
• On the data-driven COS method
• A Fourier transform method for solving backward stochastic differential equations
• On an efficient multiple time step Monte Carlo simulation of the SABR model
• Dirichlet forms and finite element methods for the SABR model
• Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
• Deep learning of optimal exercise boundaries for American options

Describes a project that uses

Uses Software

• BENCHOP

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