Crate carr_madan[][src]

Carr-Madan approach for an option using the underlying's characteristic function. Some useful characteristic functions are provided in the cf_functions repository. Carr and Madan's approach works well for computing a large number of equidistant strikes. Link to Carr-Madan paper.

Functions

carr_madan_call

Returns call prices over a series of strikes

get_strikes

Returns iterator which produces strikes