A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing
We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other model
