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Fourier Space Time-stepping Framework

License: Free ‎File size: N/A
‎Users Rating: 3.0/5 - ‎1 ‎votes

ABOUT Fourier Space Time-stepping Framework

Fourier Space Time-stepping framework is a numerical approach for pricing of financial derivatives based on the fast Fourier transform. Price European, American and other options under various models in equity, commodity and interest rate markets.

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