منابع مشابه
On the data-driven COS method
In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based financial option valuation method which assumes the availability of asset data samples: a characteristic function of the underlying asset probability density function is not required. As such, the presented technique represents a generalization of the well-known COS method [1]. The convergence of the proposed met...
متن کاملNotes on the BENCHOP implementations for the COS method
This text describes the COS method and its implementation for the BENCHOP-project. 1 Fourier cosine expansion formula (COS formula) We explain the COS method to approximate the European option value u(x, t0) = e −r∆tE [u(XT , T )|Xt0 = x] , (1) with ∆t = T − t0. Here Xt is the state process, which can be any monotone function of the underlying asset price St, for example, the scaled log-asset p...
متن کاملThe Method of Ascent and Cos
The well-known Hadamard method of descent [2, 3] consists of deriving solutions of wave equations in n variables from (known) solutions in more than n variables. To quote Hadamard, (the method) “consists in noticing that he who can do more can do less”. It is the purpose of this paper to exhibit cases in which he who can do less can do more — that sometimes one can build the propagator cos (√ A...
متن کاملa study on insurer solvency by panel data model: the case of iranian insurance market
the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.
COS 424 : Interacting with Data
This course is about data! Data is everywhere. Everything is computerized now and vast amounts of data can be easily stored. Concomitant with vast amounts of data is the belief that this data will be useful. There are many practical issues regarding data which this course will not cover such as storing data, databases, transferring data, etc. This class will be concerned with how to get the mos...
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2018
ISSN: 0096-3003
DOI: 10.1016/j.amc.2017.09.002