Ficamacos

Usage

Calculate option prices under Lévy market model using Filon's method, Carr-Madan's method and COS method.

The Carr-Madan's method using Carr-Madan's formula and fft follows from page 2-7 of http://homepages.ulb.ac.be/~cazizieh/sp_files/CarrMadan%201998.pdf

The Filon's method using Carr-Madan's formula follows from https://chasethedevil.github.io/lefloch_heston_filon.pdf page 2

The COS method using COS method given by Fang and Oosterlee https://link.springer.com/content/pdf/10.1007/s00211-009-0252-4.pdf

Requirement

Numpy

Installation

pip install Ficamacos

Help

After installed the package, use following command to see the details of functions

from Ficamacos import model
from Ficamacos import method
help(model)
help(method)

The notation of parameters are the same as notation in the papers cited.