NUFFT and COS

Leif Andersen and Mark Lake recently proposed the use of Non-Uniform Fast Fourier Transform for option pricing via the characteristic function. Fourier techniques are most commonly used for pricing vanilla options under the Heston model, in order to calibrate the model. They can be applied to other models, typically with known characteristic function, but also with numerically solved characteristic function as in the rough Heston model, and to different kind of payoffs, for example variance/vola