论文标题
基于傅立叶余弦系列扩展的欧洲选择的更强劲定价
More Robust Pricing of European Options Based on Fourier Cosine Series Expansions
论文作者
论文摘要
在具有已知特征功能（例如Heston随机波动率模型）的模型下，我们提出了通过余弦系列扩展为欧洲选择的替代公式。在罢工中，它与原始COS方法一样快。
We present an alternative formula to price European options through cosine series expansions, under models with a known characteristic function such as the Heston stochastic volatility model. It is more robust across strikes and as fast as the original COS method.
