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A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing

Kraska, Benjamin (2015) MASM01 20152
Mathematical Statistics
Abstract (Swedish)
We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black-
Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and
high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the
extension of the methods to other models and financial products.
Please use this url to cite or link to this publication:
author
Kraska, Benjamin
supervisor
organization
course
MASM01 20152
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
8408338
date added to LUP
2015-12-16 15:15:39
date last changed
2015-12-16 15:15:39
@misc{8408338,
  abstract     = {We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black-
Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and
high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the
extension of the methods to other models and financial products.},
  author       = {Kraska, Benjamin},
  language     = {eng},
  note         = {Student Paper},
  title        = {A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing},
  year         = {2015},
}