Publications — EFFECTIVE RHO
Mathematics verified. Core theorems are machine-checked in Lean 4.
Prose and presentation may not have been human-reviewed.
Summary
The Fourier-cosine (COS) method achieves exponential convergence for option pricing and risk computation when the underlying density is analytic — but domain truncation can destroy this convergence entirely.
Length
4,099 words
Claims
12 theorems
Status
Unknown