CosPdfRecovery {RMOPI}

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)