The COS method for option valuation under the SABR dynamics

Keyphrases

• Option Valuation 100%
• COS Method 100%
• Discretized 50%
• Pricing Method 50%
• Characteristic Function 50%
• Richardson Extrapolation 50%
• Fourier-cosine Expansion 50%
• Second-order Convergence 50%
• Backward Stochastic Differential Equation 50%
• Pricing European Option 50%
• Taylor Scheme 50%
• Bermudan Option 50%

Mathematics

• Stochastics 100%
• Discretization 66%
• Stochastic Differential Equation 33%
• Cosine 33%
• Two Dimensions 33%
• Richardson Extrapolation 33%
• Convergence Order 33%
• Characteristic Function 33%