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تسجيل مستخدم جديدMore Robust Pricing of European Options Based on Fourier Cosine Series Expansions
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تأليف
Fabien Le Floch
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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.
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