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Projects in Awesome Lists tagged with carr-madan
A curated list of projects in awesome lists tagged with carr-madan .
https://github.com/daniilvorontsov/fourier-option-pricing
MSc thesis project concerned with option pricing for Levy Jump models. Package includes pricing implementations for European Call and Put options for Carr-Madan, COS and Fourier Time Stepping.
carr-madan cuda fourier-transform monte-carlo option-pricing
Last synced: 14 Nov 2024
