Draft:The COS method
Submission declined on 21 August 2024 by Dan arndt (talk).
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| Submission declined on 18 August 2024 by DoubleGrazing (talk). This submission appears to be taken from https://link.springer.com/article/10.1007/s00211-024-01402-1. Wikipedia cannot accept material copied from elsewhere, unless it explicitly and verifiably has been released to the world under a suitably free and compatible copyright license or into the public domain and is written in an acceptable tone—this includes material that you own the copyright to. You should attribute the content of a draft to outside sources, using citations, but copying and pasting or closely paraphrasing sources is not acceptable. The entire draft should be written using your own words and structure. Declined by DoubleGrazing 3 months ago.
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| Submission declined on 7 August 2024 by Notcharizard (talk). This submission provides insufficient context for those unfamiliar with the subject matter. Please see the guide to writing better articles for information on how to better format your submission. Declined by Notcharizard 3 months ago. | |
Comment: Note to author: please do not edit the AfC templates manually. DoubleGrazing (talk) 09:07, 18 August 2024 (UTC)
- Comment: I could not understand any of this at all, and I wondered if perhaps it is just science that is beyond me. But given how long this has been awaiting review, I can only assume other reviewers felt the same. The lead at least needs to be able to describe what the topic is, or at least provide enough context, in a way that a layperson can understand. -- NotCharizard 🗨 11:23, 7 August 2024 (UTC)
The COS method is a numerical technique in computational finance to efficiently price European plain vanilla put options or call options provided the explicit form of the characteristic function of , where is the price of the underlying asset at time , is available. The method has been developed in 2008 by Fang Fang and Cornelis W. Oosterlee.[1]
The COS method requires two parameters: a truncation range and a number of terms. The truncation range can be found using Markov's inequality.[2] The number of terms can be found by integration by parts.[3] To price a call option it is numerically more stable to price a put option instead and use the put-call parity.[1]
See also
[edit]References
[edit]- ^ a b Fang, Fang; Oosterlee, Cornelis W. (2008). "A novel pricing method for European options based on Fourier-cosine series expansions". SIAM Journal on Scientific Computing. 31 (2): 826–848. doi:10.1137/080718061.
- ^ Junike, Gero; Pankrashkin, Konstantin (2022). "Precise option pricing by the COS method–How to choose the truncation range" (PDF). Applied Mathematics and Computation. 451 (126935): 1–14. doi:10.1016/j.amc.2022.126935.
- ^ Junike, Gero (2024). "On the number of terms in the COS method for European option pricing" (PDF). Numerische Mathematik. 156 (2): 533–564. doi:10.1007/s00211-024-01402-1.
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