Class FRFTPricer
Defined in File frft_pricer.hpp
Inheritance Relationships
Base Type
public otyca::FourierTransformPricer(Class FourierTransformPricer)
Class Documentation
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class FRFTPricer : public otyca::FourierTransformPricer
Option pricer using Fraction Fast Fourier Transform (FRFT).
This class implements a numerically efficient option pricing technique based on Fractional Fast Fourier Transform (FRFT), 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.