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mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model

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.ipynb_checkpoints
.ipynb_checkpoints
 
 
out_pictures
out_pictures
 
 
BS wh put, naive.ipynb
BS wh put, naive.ipynb
 
 
BS, new mex factorization formulae.ipynb
BS, new mex factorization formulae.ipynb
 
 
CIR variance tree.ipynb
CIR variance tree.ipynb
 
 
Correct version of rad FFTs.ipynb
Correct version of rad FFTs.ipynb
 
 
Delta-function and fft extended.ipynb
Delta-function and fft extended.ipynb
 
 
Delta-function and fft small demo.ipynb
Delta-function and fft small demo.ipynb
 
 
FFT, Radian frequency, with no 2pi, explicit.ipynb
FFT, Radian frequency, with no 2pi, explicit.ipynb
 
 
FFT, Exponent Testing, Herz frequency, with 2pi.ipynb
FFT, Exponent Testing, Herz frequency, with 2pi.ipynb
 
 
FFT, Exponent Testing, Radian frequency, with no 2pi.ipynb
FFT, Exponent Testing, Radian frequency, with no 2pi.ipynb
 
 
Heston,.wh factorization, explicit formulae.ipynb
Heston,.wh factorization, explicit formulae.ipynb
 
 
Mex-BS, Simpson vs Fourier.ipynb
Mex-BS, Simpson vs Fourier.ipynb
 
 
Mex-BS, new mex symbol comparison - different factorization formula.ipynb
Mex-BS, new mex symbol comparison - different factorization formula.ipynb
 
 
Mex-BS, new mex symbol comparison.ipynb
Mex-BS, new mex symbol comparison.ipynb
 
 
Mexicana article essentials sketch.ipynb
Mexicana article essentials sketch.ipynb
 
 
My fft overall test .ipynb
My fft overall test .ipynb
 
 
README.md
README.md
 
 
Simpson vs Fourier.ipynb
Simpson vs Fourier.ipynb
 
 
bs.png
bs.png
 
 
iFFT, Radian frequency, with no 2pi, explicit.ipynb
iFFT, Radian frequency, with no 2pi, explicit.ipynb
 
 
iFFT, Exponent Testing, Herz frequency, with 2pi, failed.ipynb
iFFT, Exponent Testing, Herz frequency, with 2pi, failed.ipynb
 
 
logarithm decomposition.ipynb
logarithm decomposition.ipynb
 
 
out.png
out.png
 
 
untitled.txt
untitled.txt
 
 
описание алгоритма.pdf
описание алгоритма.pdf
 
 
описание алгоритма.tex
описание алгоритма.tex
 
 

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wh-barrier-python

mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model

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mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model

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