Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - In: The Numerical Solution of the American Option Pricing …
The Fourier cosine expansion approach (COS) is developed by Fang and Oosterlee (2008) using the Cosine series expansions of the value function at the next time level and the density function. The resulting equation is called the COS formula, due to the use of Fourier cosine series expansions....
