FFTOptionLib

FFT-based Option Pricing Methods in Python

Some baseline methods evaluated in the following paper:

Gated Neural Networks for Option Pricing: Rationality by Design

Yongxin Yang, Yu Zheng, Timothy M. Hospedales

The Thirty-First AAAI Conference on Artificial Intelligence (AAAI 2017)

https://arxiv.org/abs/1609.07472

Authors

ArrayStream (Yu Zheng, Ran Fan)

Installation

pip install fftoptionlib

Documentation

Please see our blog post on: https://www.arraystream.com/fftoptionlib/

Contributing

Pull-request welcome!