A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

By Fang Fang, Cornelis W. Oosterlee. SIAM Journal on Scientific Computing, 2008

733 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/436dec6733e44780c83ef757ec326f12d60e25e1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Eduardo Abi Jaber
2. Alexander Badran
3. Jan Baldeaux
4. Jean-Pierre Fouque 3
5. Yuri F. Saporito

In Mathematical Physics

1. Eduardo Abi Jaber
2. Alexander Badran
3. Jan Baldeaux

Citations in the corpus

• Lifting the Heston model (2018, methodology): “As before, the call prices are then computed via the cosine method (Fang and Oosterlee 2008) for the inversion of the characteristic function.”
• The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation (2014, unknown): “For a more detailed discussion on this, see [10].”
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, methodology): “This allows for the simultaneous pricing of equity options across many strikes via the use of the Fourier-cosine expansion method of Fang and Osterlee (2008). Such a finding is expected to significantly speed up the calibration procedure.”