Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
- Alessandro Gnoatto, Christian Fries
Interface Summary Interface Description SmileByIntegralTransformBase interface for Fourier-based valuations.
Class Summary Class Description EuropeanOptionSmileThis is an abstract base class for Fourier-based methodologies for the valuation of a smile of options. EuropeanOptionSmileByCarrMadanThis class computes the prices of a collection of call options for a fixed maturity and a family of strikes.