The COS Method for Pricing Options Under Uncertain Volatility
نویسنده
چکیده
We develop a method for pricing financial options under uncertain volatility. The method is based on the dynamic programming principle and a Fourier cosine expansion method. Local errors in the vicinity of domain boundaries, originating from the use of Fourier series expansions, may hamper the algorithm’s convergence. We use an extrapolation method to deal with these errors.
منابع مشابه
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