Package net.finmath.fouriermethod.products.smile

Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.

See: Description

Interface Summary

Interface	Description
SmileByIntegralTransform	Base interface for Fourier-based valuations.

Class Summary

Class	Description
EuropeanOptionSmile	This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
EuropeanOptionSmileByCarrMadan	This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.

Package net.finmath.fouriermethod.products.smile Description

Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.

Author:

Alessandro Gnoatto, Christian Fries