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NUFFT for the Fast COS Method

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  • Fabien LeFloc'h

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.

Suggested Citation

  • Fabien LeFloc'h, 2025. "NUFFT for the Fast COS Method," Papers 2507.13186, arXiv.org, revised Jul 2025.
    • Handle: RePEc:arx:papers:2507.13186
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    File URL: http://arxiv.org/pdf/2507.13186
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