NUFFT for the Fast COS Method
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866915400447426560 |
|---|---|
| author | LeFloc'h, Fabien |
| author_facet | LeFloc'h, Fabien |
| contents | The COS method is a very efficient way to compute European option prices under Lévy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, thus allowing to price many options of the same maturity but different strikes at an unprecedented speed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_13186 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | NUFFT for the Fast COS Method LeFloc'h, Fabien Computational Finance Pricing of Securities The COS method is a very efficient way to compute European option prices under Lévy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, thus allowing to price many options of the same maturity but different strikes at an unprecedented speed. |
| title | NUFFT for the Fast COS Method |
| topic | Computational Finance Pricing of Securities |
| url | https://arxiv.org/abs/2507.13186 |