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[Quantlib-users] Info Option Prices with Fourier transform
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From: Alessio P. <ale...@gm...> - 2020-08-12 11:29:30
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<html xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:w="urn:schemas-microsoft-com:office:word" xmlns:m="http://schemas.microsoft.com/office/2004/12/omml" xmlns="http://www.w3.org/TR/REC-html40"><head><meta http-equiv=Content-Type content="text/html; charset=utf-8"><meta name=Generator content="Microsoft Word 15 (filtered medium)"><style><!-- /* Font Definitions */ @font-face {font-family:"Cambria Math"; panose-1:2 4 5 3 5 4 6 3 2 4;} @font-face {font-family:Calibri; panose-1:2 15 5 2 2 2 4 3 2 4;} /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {margin:0cm; font-size:11.0pt; font-family:"Calibri",sans-serif;} .MsoChpDefault {mso-style-type:export-only;} @page WordSection1 {size:612.0pt 792.0pt; margin:70.85pt 2.0cm 2.0cm 2.0cm;} div.WordSection1 {page:WordSection1;} --></style></head><body lang=IT><div class=WordSection1><p class=MsoNormal>Good Morning,</p><p class=MsoNormal>I would like to know what algorithm is used inside QuantLib to compute option prices in Fourier Space. Thank you so much.</p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal>Best Regards,<o:p></o:p></p><p class=MsoNormal>Alessio Peroni.<o:p></o:p></p><p class=MsoNormal><o:p> </o:p></p></div></body></html> |
