Price options analytically given stock price characteristic function. Implementation of1:
pip install git+git://github.com/khrapovs/fangoosterleeFang, F., & Oosterlee, C. W. (2009). A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM Journal on Scientific Computing, 31(2), 826. doi:10.1137/080718061 <http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf>↩