# The SINC way: a fast and accurate approach to Fourier pricing

@article{Baschetti2021TheSW, title={The SINC way: a fast and accurate approach to Fourier pricing}, author={Fabio Baschetti and Giacomo Bormetti and Silvia Romagnoli and Pietro Rossi}, journal={Quantitative Finance}, year={2021}, volume={22}, pages={427 - 446} }

The goal of this paper is to investigate the method outlined by one of us (P. R.) in Cherubini, U., Della Lunga, G., Mulinacci, S. and Rossi, P. [Fourier Transform Methods in Finance, 2009 (John Wiley & Sons Inc.).] to compute option prices. We name it the SINC approach. While the COS method by Fang, F. and Oosterlee, C.W. [A novel pricing method for european options based on Fourier-cosine series expansions. SIAM. J. Sci. Comput., 2009, 31(2), 826–848.] leverages the Fourier-cosine expansion…

## One Citation

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models

- Computer ScienceArXiv
- 2022

An eﬃcient numerical method for pricing European multi-asset options based on two complementary ideas that smooth the Fourier integrand via an optimized choice of damping parameters based on a proposed heuristic optimization rule and uses the adaptive sparse grid quadrature based on sparsiﬁcation and dimension-adaptivity techniques to accelerate the convergence of the numerical quadratures in high dimensions.

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