SIAMSC
2008
13 years 12 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
14 years 11 days 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...