finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Finmath fourier methods #74

Closed AlessandroGnoatto closed 4 years ago

AlessandroGnoatto commented 4 years ago

What is this PR for?

New functionality

What type of PR is it?

Feature }

Todos

None

What is the related issue?

Missin barrier option formulas

How should this be tested?

Results are tested against the values from the Book of Haugh

Screenshots

Questions:

Does the licenses files need update?

Replace this line by either YES or NO. Add details if required.

Are there breaking changes for older versions?

Replace this line by either YES or NO. Add details if required.

Does the change require additional documentation?

Replace this line by either YES or NO. Add details if required.