Module fang_oost_option::option_pricing

Fang Oosterlee approach for an option using the underlying's characteristic function. Some useful characteristic functions are provided in the cf_functions repository. Fang and 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 strikes synthetically. Due to the fact that Fang Oosterlee is able to handle discrete strikes 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. Link to Fang-Oosterlee paper.

Functions

fang_oost_call_delta	Returns delta of a call for the series of strikes
fang_oost_call_gamma	Returns gamma of a call for the series of strikes
fang_oost_call_price	Returns call prices for the series of strikes
fang_oost_call_theta	Returns theta of a call for the series of strikes
fang_oost_put_delta	Returns delta of a put for the series of strikes
fang_oost_put_gamma	Returns gamma of a put for the series of strikes
fang_oost_put_price	Returns put prices for the series of strikes
fang_oost_put_theta	Returns theta of a put for the series of strikes