SIAMSC
2008
13 years 4 months ago
2008
Here we develop an option pricing method for European options based on the Fourier-cosine series, and call it the COS method. The key insight is in the close relation of the charac...
SIAMSC
2008
13 years 4 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...