The COS method for pricing options under uncertain volatility

DOI10.1007/978-1-4614-3433-7_6MaRDI QIDQ2920954zbMATH OpenOpenAlexFDO

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

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Cites work

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

Cited in

(7)

• Precise option pricing by the COS method -- how to choose the truncation range
• On the data-driven COS method
• Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
• Pricing options under stochastic volatility with Fourier-cosine series expansions
• Finite volume method of option pricing model under uncertain volatility
• A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model
• A novel pricing method for European options based on Fourier-cosine series expansions

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