We apply a new numerical method, the singular Fourier-Pade (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in Levy and affine processes. The motivation behind this application is to reduce the ineffciency of current Fourier techniques when they are...

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial series -- complex Fourier series. We assume that risky assets are driven by exponential Lévy processes and stochastic volatility models. We provide a succinct error analysis to...