#pricing #strike #options #fft #numbers #carr #madan

carr_madan

A library implementing Carr and Madan's algorithm for option pricing

5 releases (3 breaking)

0.4.0 Aug 26, 2019
0.3.0 Mar 23, 2019
0.2.1 Aug 19, 2018
0.2.0 Aug 19, 2018
0.1.0 Jul 5, 2018

#291 in Finance

23 downloads per month

MIT license

8KB
109 lines

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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.

Dependencies

~4.5MB
~89K SLoC