C++ code for option pricing using FFT and Eigen package

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njain Registered Member Posts 1 Karma 0	C++ code for option pricing using FFT and Eigen package Sat Dec 07, 2013 6:38 pm Hi all, I was just wondering if any one having a C++ code to compute the European call and put options using the FFT (fast Fourier transform) algorithm. You must use the Eigen package; the upper bound of B must be set at 100; and the number of sample points on the ! domain must be set at N = 2^12. Appreciate your time. Nikhil
scummos Global Moderator Posts 1175 Karma 7 OS	Re: C++ code for option pricing using FFT and Eigen package Sat Dec 07, 2013 6:45 pm Huh? What? Can you please elaborate on what you want to do? I don't understand a word Also you posted in the "KDevelop" forum, which is for the KDevelop IDE. Judging from the words appearing in your text this should rather be in the "Eigen" forum. Greetings, Sven I'm working on the KDevelop IDE.
guidow Registered Member Posts 10 Karma 0 OS	Re: C++ code for option pricing using FFT and Eigen package Thu Mar 13, 2014 3:57 pm scummos wrote:Huh? What? Can you please elaborate on what you want to do? I don't understand a word I understand enough of it to strongly suspect that he is trying to get others to do his homework for him. The phrasing of the second sentence sounds a lot like a homework question. No idea what call and put options have to do with fourier transformations, though.