Crate fang_oost_option[][src]



Fang Oosterlee Approach for an option. Fang Oosterlee's approach works well for a smaller set of discrete strike prices such as those in the market. The constraint is that the smallest and largest values in the x domain must be relatively far from the middle values. This can be "simulated" by adding small and large "K" synthetically. Due to the fact that Fang Oosterlee is able to handle this well, the algorithm takes a vector of strike prices with no requirement that the strike prices be equidistant. All that is required is that they are sorted largest to smallest.