Module net.finmath.lib
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.
- Author:
- Alessandro Gnoatto, Christian Fries
-
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.