QuoteOriginally posted by: outrunQuoteSearching for Fang-Oosterlee, I found out that Oosterlee works around the corner You're referring to COS inversion method, right?Great, you can ask him questions. Yes, the COS method -- the main advantage for calibration is that it is a vectorized method; you can pass ita vector of N strikes for a given expiration. It requires a vector of char. function values at M points, and then you get a vectorof option prices at those strikes from OptionVec = mat . CharFuncVec, where mat is a very simple N x M matrix. So, if the char. function is obtainedfrom a call to Daniel's pde routine, there are only M calls to that, regardless of the number of options with that fixed expiration.So it minimizes the number of calls to the most computationally expensive function, which is the char. function.
Last edited by Alan
on October 11th, 2011, 10:00 pm, edited 1 time in total.