Print Email Facebook Twitter The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method Title The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method Author Versteegh, M. Contributor Oosterlee, C.W. (mentor) Ruijter, M.J. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Applied mathematics Programme Numerical analysis Date 2012-10-10 Abstract There are situations in which the COS method for option pricing has relatively slow convergence as a consequence of the Gibbs phenomenon. This thesis focusses on various methods to improve the convergence rate of the so called spectral methods. Note that we are not just interested in an accurate recovery, but that we also want to be able to perform fast option pricing, so the computational costs should remain relatively low. After a brief description of a wide range of possibilities some of the more promising methods for our subject are analyzed. After discussing the possible improvement methods, we test them in practical situations such as density recovery and option pricing for some popular financial models. Subject option pricingcos methodgibbs phenomenonfiltersiprmVG densityCIRHestonGegenbauer To reference this document use: http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b Embargo date 2012-10-11 Part of collection Student theses Document type master thesis Rights (c) 2012 Versteegh, M. Files PDF mscThesisMark_20121003_3.pdf 2.23 MB Close viewer /islandora/object/uuid:163347e5-15f1-43ad-a801-ab926b0a026b/datastream/OBJ/view