Module fang_oost_option::option_pricing

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. http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf

Functions

fang_oost_call_delta
fang_oost_call_gamma
fang_oost_call_price	Returns call prices for the series of strikes
fang_oost_call_theta
fang_oost_put_delta
fang_oost_put_gamma
fang_oost_put_price
fang_oost_put_theta