Package net.finmath.fouriermethod.products

Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

See: Description

Interface Summary

Interface	Description
FourierTransformProduct

Class Summary

Class	Description
AbstractFourierTransformProduct
DigitalOption	Implements valuation of a European option on a single asset.
EuropeanOption	Implements valuation of a European option on a single asset.

Package net.finmath.fouriermethod.products Description

Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

Author:

Christian Fries