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Carr-Madan

This is a rust implementation of Carr Madan's FFT option pricing methodology.

Benchmarks

https://phillyfan1138.github.io/carr_madan_rust/report

lib.rs:

Carr-Madan approach for an option using the underlying's characteristic function. Some useful characteristic functions are provided in the cf_functions repository. Carr and Madan's approach works well for computing a large number of equidistant strikes. Link to Carr-Madan paper.