From characteristic functions to multivariate distribution functions and European option prices by the damped COS method
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- Junike, Gero & Pankrashkin, Konstantin, 2022. "Precise option pricing by the COS method—How to choose the truncation range," Applied Mathematics and Computation, Elsevier, vol. 421(C).
- Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
- Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
- Gero Junike, 2023. "On the number of terms in the COS method for European option pricing," Papers 2303.16012, arXiv.org, revised Mar 2024.
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