This project forked from arraystream/fftoptionlib
FFT-based Option Pricing Methods in Python
License: BSD 3-Clause "New" or "Revised" License
FFT-based Option Pricing Methods in Python
Some baseline methods evaluated in the following paper:
Yongxin Yang, Yu Zheng, Timothy M. Hospedales
The Thirty-First AAAI Conference on Artificial Intelligence (AAAI 2017)
https://arxiv.org/abs/1609.07472
ArrayStream (Yu Zheng, Ran Fan)
pip install fftoptionlib
Please see our blog post on: https://www.arraystream.com/fftoptionlib/
Pull-request welcome!
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