Calculate the F_k coefficients for the COS method, an option pricing method based on the Fourier-cosine series.

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) <doi:10.1137/080718061>).

Wei Ling

RMOPI

Risk Management and Optimization for Portfolio Investment

Yang Liu

F_k function

<dl><dt>Chf</dt>
<dd>the characteristic function</dd>
<dt>N</dt>
<dd>the number of cos term for summation</dd>
<dt>a</dt>
<dd>the lower limit of the truncation interval</dd>
<dt>b</dt>
<dd>the upper limit of the truncation interval</dd></dl>

Arguments

F_k Coefficients — F_k

<dl>

<dt>Chf</dt>
<dd>the characteristic function</dd>


<dt>N</dt>
<dd>the number of cos term for summation</dd>


<dt>a</dt>
<dd>the lower limit of the truncation interval</dd>


<dt>b</dt>
<dd>the upper limit of the truncation interval</dd>

</dl>

F_k: F_k Coefficients

Description

Usage

Value

Arguments

References

Examples