Class FFTPricer
Defined in File fft_pricer.hpp
Inheritance Relationships
Base Type
public otyca::FourierTransformPricer(Class FourierTransformPricer)
Class Documentation
-
class FFTPricer : public otyca::FourierTransformPricer
Option pricer using Fast Fourier Transform (FFT).
This class implements a numerically efficient option pricing technique based on Fast Fourier Transform (FFT), as proposed by Peter Carr and Dilip B. Madan (1999): “Option valuation using the fast Fourier transform”
It computes option prices, derivatives, implied volatilities, and PDFs using the characteristic function of a given stochastic process.