NUFFT for the Fast COS Method
Computational Finance
2025-07-22 v2 Pricing of Securities
Abstract
The COS method is a very efficient way to compute European option prices under L\'evy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, thus allowing to price many options of the same maturity but different strikes at an unprecedented speed.
Keywords
Cite
@article{arxiv.2507.13186,
title = {NUFFT for the Fast COS Method},
author = {Fabien LeFloc'h},
journal= {arXiv preprint arXiv:2507.13186},
year = {2025}
}