https://github.com/arraystream/fftoptionlib

FFT-based Option Pricing Methods in Python
https://github.com/arraystream/fftoptionlib

fft financial option-pricing python

Last synced: 3 months ago
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FFT-based Option Pricing Methods in Python

• Host: GitHub
• URL: https://github.com/arraystream/fftoptionlib
• Owner: arraystream
• License: bsd-3-clause
• Created: 2017-04-17T15:01:16.000Z (almost 9 years ago)
• Default Branch: master
• Last Pushed: 2018-08-29T16:19:50.000Z (over 7 years ago)
• Last Synced: 2025-09-27T23:14:03.752Z (6 months ago)
• Topics: fft, financial, option-pricing, python
• Language: Python
• Homepage:
• Size: 1.37 MB
• Stars: 59
• Watchers: 3
• Forks: 16
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
## FFTOptionLib

[![PyPI Version](https://img.shields.io/pypi/v/fftoptionlib.svg)](https://pypi.python.org/pypi/fftoptionlib)

[![Build Status](https://travis-ci.org/arraystream/fftoptionlib.svg?branch=master)](https://travis-ci.org/arraystream/fftoptionlib)

[![Coverage Status](https://codecov.io/gh/arraystream/fftoptionlib/branch/master/graph/badge.svg)](https://codecov.io/gh/arraystream/fftoptionlib)

FFT-based Option Pricing Methods in Python

Some baseline methods evaluated in the following paper: 

### Gated Neural Networks for Option Pricing: Rationality by Design

Yongxin Yang, Yu Zheng, Timothy M. Hospedales

The Thirty-First AAAI Conference on Artificial Intelligence (AAAI 2017)

https://arxiv.org/abs/1609.07472

### Authors

ArrayStream (Yu Zheng, Ran Fan)

### Installation

```pip install fftoptionlib```

### Documentation

Please see our blog post on: [https://www.arraystream.com/fftoptionlib/](https://www.arraystream.com/fftoptionlib/)

### Contributing

Pull-request welcome!