Option-Pricing-using-COS-Method | federico baldi lanfranchi & nbsp ; & nbsp ; & nbsp ; & nbsp

Option-Pricing-using-COS-Method is a HTML library. Option-Pricing-using-COS-Method has no bugs, it has no vulnerabilities and it has low support. You can download it from GitHub.

federico baldi lanfranchi               federico.baldilanfranchi@student.unisg.ch peter la cour                                    peter.lacour@student.unisg.ch. in the following, we compute prices for one day of european put and call options on the s&p 500 index through the cos method, pioneered by fang and oosterle (2008). for this study, we consider options expiring on the march 20, 2020, whose maturity is close to one year at the time of writing, march 24, 2019. option price data is retried from yahoo, through the quantmod r package. we price both put and call options for every strike price quoted, also in cases where one of the two option types is not available for a particular strike. this approach is adopted since the related contingent claims can theoretically be replicated via the put-call parity relationship. we compare estimated prices under four underlying diffusion assumptions, namely the black-scholes, heston, variance gamma and cgmy models. in doing so, we employ calibrated parameters from some of the original papers. consequently, we cannot make statements about the accuracy of the cos method with respect to other numerical option pricing techniques at this stage, since realised option prices should instead reflect current market