RECOVERING PROBABILITY FUNCTIONS WITH FOURIER SERIES

نویسندگان

چکیده

The COS method was introduced in Fang & Oosterlee (2008) and then applied to pricing a variety of stock options for continuous random variables. This paper adapts the Fourier-cosine series (COS) recover discrete probability mass functions. We approximate mixture compound distributions with cosine series. Enormous precision computational speed are qualities function estimates here obtained. also develop framework trade derivatives subject apply calculate, first time, price an interest rate derivative recent vintage Brazilian financial market. Parameter calibration confirms quality model.

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ژورنال

عنوان ژورنال: Pesquisa Operacional

سال: 2023

ISSN: ['1678-5142', '0101-7438']

DOI: https://doi.org/10.1590/0101-7438.2023.043.00267882