Ortiz García, LuisTubella Domingo, Oriol2024-09-132024-09-132024https://hdl.handle.net/2445/215139Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2023-2024, Tutor: Luis Ortiz GraciaThe 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.47 p.application/pdfengcc-by-nc-nd (c) Tubella Domingo, 2024http://creativecommons.org/licenses/by-nc-nd/3.0/es/Opcions (Finances)Mètode de MontecarloTreballs de fi de màsterOptions (Finance)Monte Carlo methodMaster's thesisinfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccess