https://github.com/xblad/fourier-lab

Code for master thesis about application of FFT technique in Spread option valuation field (based on papers from Hurd Zhou and Dempster Hong)
https://github.com/xblad/fourier-lab

fourier fourier-analysis fourier-transform option-pricing r spread

Last synced: over 1 year ago
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Code for master thesis about application of FFT technique in Spread option valuation field (based on papers from Hurd Zhou and Dempster Hong)

• Host: GitHub
• URL: https://github.com/xblad/fourier-lab
• Owner: xblad
• License: gpl-3.0
• Created: 2017-04-18T18:18:17.000Z (about 9 years ago)
• Default Branch: master
• Last Pushed: 2017-05-23T22:07:16.000Z (about 9 years ago)
• Last Synced: 2025-01-29T03:54:49.806Z (over 1 year ago)
• Topics: fourier, fourier-analysis, fourier-transform, option-pricing, r, spread
• Language: R
• Size: 91.8 KB
• Stars: 1
• Watchers: 0
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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# fourier-lab

Code for master thesis about application of FFT technique in Spread option valuation field (based on papers from Hurd Zhou and Dempster Hong)