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 |