filonlevyoptionpricer

We have hosted the application filonlevyoptionpricer in order to run this application in our online workstations with Wine or directly.

Quick description about filonlevyoptionpricer:

Implementation of algorithm from paper 'Numerical Approximation of Option Premia in Displaced-Lognormal Heston Models' by A Dickinson. For code: click link under 'Develop' & checkout via svn or click link under Browse Code->SVN & download tarball.

Audience: Financial and Insurance Industry, Science/Research.
User interface: Console/Terminal.
Programming Language: C++.
Categories: