Option pricing with COS, Carr Madan and Filon's method

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License: MIT License

Author: Yehao Liu

Requires: Python >=3.7

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Project description

Ficamacos

Usage

Calculate option prices under Lévy market model using Filon's method, Carr-Madan'method and COS method.

Requirement

Numpy

Installation

pip install Ficamacos

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Avatar for Leoliuyehao from gravatar.com Leoliuyehao

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License: MIT License

Author: Yehao Liu

Requires: Python >=3.7

Classifiers

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This version

0.1.0

0.0.1

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