FilonLevyOptionPricer download

Implementation of algorithm from paper 'Numerical Approximation of Option Premia in Displaced-Lognormal Heston Models' by A Dickinson. For code: click link under 'Develop' & checkout via svn or click link under Browse Code->SVN & download tarball

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License

Boost Software License (BSL1.0)

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Additional Project Details

Operating Systems

Cygwin, Linux, BSD, Windows

Intended Audience

Financial and Insurance Industry, Science/Research

User Interface

Console/Terminal

Programming Language

C++

Related Categories

C++ Financial Software, C++ Mathematics Software, C++ Research Software

Registered

2011-05-12

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