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finMath lib documentation

Package net.finmath.fouriermethod

Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.

See: Description

Package net.finmath.fouriermethod Description

Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
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Copyright © 2017 Christian P. Fries.

Copyright © 2017. All rights reserved.