CharacteristicFunction

The risk-neutral characteristic function of the log-return X_T = ln(S_T / S_0): phi(u, T) = E^Q[ exp(i u X_T) ]. The drift and any martingale correction are baked in, so CosMethod needs nothing else to price a European option.

Implementations also supply the first, second and fourth cumulants of X_T, which set the COS truncation range.

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Methods

Complex phi(double u, double maturity)

double cumulant1(double maturity)

First cumulant (mean) of X_T.

double cumulant2(double maturity)

Second cumulant (variance) of X_T.

double cumulant4(double maturity)

Fourth cumulant of X_T (0 if unknown; the range then leans on cumulant2).