CosPdfRecovery: Distribution Recovery with the COS method

In RMOPI: Risk Management and Optimization for Portfolio Investment

Distribution Recovery with the COS method

Description

Restore the distribution with the characteristic function through the COS method, an option pricing method based on the Fourier-cosine series.

Usage

CosPdfRecovery(x, Chf, N, a, b)

Arguments

x	vector of observations
Chf	the characteristic function
N	the number of cos term for summation
a	the lower limit of the truncation interval
b	the upper limit of the truncation interval

Value

The approximated probability density of x

References

Fang F. and Oosterlee C.W. 2008. "A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions", Siam Journal on Scientific Computing. 31(2): 826-848. doi: 10.1137/080718061.

Examples

N <- 32
x <- seq(-5, 5, by = 10 / (32 - 1))
a <- -6.0
b <- 6.0
CosPdfRecovery(x, StNormChf, N, a, b)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.