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Showing 1 to 4 of 4 for “"COS method"”.
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Error analysis of the COS method for options pricing
This thesis investigates the use of the Fourier cosine (COS) method for pricing European options under a variety of Lévy process models. The COS method is a Fourier-based technique that leverages the characteristic function of an asset’s returns to efficiently compute option prices. We apply it to …
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Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
… of the two state spaces. We examine the 2D-COS method, which makes use of Fourier-cosine expansions in each of the two dimensions in order to approximate the integrals. Using the fast Fourier transform, we are able to efficiently calculate the cosine series coefficients at each …
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Fourier pricing of two-asset options: a comparison of methods
Fourier methods form an integral part in the universe of option pricing due to their speed, accuracy and diversity of use. Two types of methods that are extensively used are fast Fourier transform (FFT) methods and the Fourier-cosine series expansion (COS) method. Since its introduction the COS …
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Pricing discretely monitored barrier options under exponential-Levy processes
… This dissertation presents transform methods for pricing discretely monitored barrier options under exponential-Levy ´ processes. Single-barrier knock-out options are evaluated under the Black-Scholes framework, the normal inverse Gaussian model and the Variance Gamma model. These …