Class DigitalOption

All Implemented Interfaces:
Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, Product
Direct Known Subclasses:
SingleAssetFourierProductFactory.DigitalOptionFourierMethod

public class DigitalOption extends AbstractFourierTransformProduct
Implements valuation of a European option on a single asset. Given a model for an asset S, the European option with strike K, maturity T pays
indicator(S(T) - K) in T
The class implements the characteristic function of the call option payoff, i.e., its Fourier transform.
Version:
1.0
Author:
Christian Fries