F_k {RMOPI}

F_k Coefficients

Description

Calculate the F_k coefficients for the COS method, an option pricing method based on the Fourier-cosine series.

Usage

F_k(Chf, N, a, b)

Arguments

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

A vector of F_k coefficients

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
a <- -6.0
b <- 6.0
F_k(StNormChf, N, a, b)