[−][src]Crate carr_madan
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
call_price | Returns call prices over a series of strikes |
get_strikes | Returns iterator which produces strikes |