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