Module net.finmath.lib
Package net.finmath.fouriermethod.models
package net.finmath.fouriermethod.models
Provides characteristic functions of stochastic processes (models).
- Author:
- Christian Fries
-
ClassDescriptionImplements the characteristic function of a Bates model.Implements the characteristic function of a Black Scholes model.Interface which has to be implemented by models providing the characteristic functions of stochastic processes.Implements the characteristic function of a Heston model.Implements the characteristic function of a Merton jump diffusion model.Implements the characteristic function of a Variance Gamma model.