# name
The COS method for pricing European options

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Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2023-2024, Tutor: Luis Ortiz Gracia

# metadata.dc.description.abstract[].value
The COS method exploits the relation between the characteristic function of a random variable and the series coefficients of the Fourier-cosine expansion of the density function. After the mathematical introduction and the derivation of the Black-Scholes formula, we introduce with all the details the COS method. We compare, in terms of absolute error and in CPU time, its performance when pricing European options with a Monte Carlo scheme and with the Black-Scholes value of the derivative. An error analysis of COS method is also provided. Numerical experiments confirm the fast convergence and the precision of the COS method.

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Màster Oficial - Ciències Actuarials i Financeres (CAF)

# metadata.dc.title[].value
The COS method for pricing European options