News on the COS Method Truncation

The COS method is a fast way to price vanilla European options under stochastic volatility models with a known characteristic function. There are alternatives, explored in previous blog posts. A main advantage of the COS method is its simplicity. But this comes at the expense of finding the correct values for the truncation level and the (associated) number of terms. A related issue of the COS method, or its more fancy wavelet cousin the SWIFT method, is to require a huge (>65K) number of poi