Files
Document type
ArticleVersion
Accepted versionPublication date
Publication license
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/120997
On the data-driven COS method
Journal Title
Director/Tutor
Additional contribution
Journal ISSN
Volume Title
Abstract
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 method is in line with Monte Carlo methods for pricing financial derivatives. The ddCOS method is then particularly interesting for density recovery and also for the efficient computation of the option's sensitivities Delta and Gamma. These are often used in risk management, and can be obtained at a higher accuracy with ddCOS than with plain Monte Carlo methods.
Related resource
Subject (English)
Citation
Citation
LEITAO, Alvaro, et al. On the data-driven COS method. Applied Mathematics and Computation. 2018. Vol. 317, num. January, pags. 68-84. ISSN 0096-3003. [consulted: 17 of October of 2026]. Available at: https://hdl.handle.net/2445/120997