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risk-neutral-valuation

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FelipeCardozo0 / Fourier-Based-Characteristic-Function-Methods-for-Risk-Neutral-Option-Pricing

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High-performance Python engine implements Fourier-based option pricing, volatility surface calibration, and risk analytics. It features six stochastic models—including Heston and CGMY—ensuring martingale consistency. Utilizing Carr-Madan FFT and COS methods, it delivers precise Greeks and VaR/CVaR metrics.

python fft option-pricing quantitative-finance numerical-integration black-scholes fourier-transform financial-mathematics heston-model derivatives-pricing characteristic-functions stochastic-volatility carr-madan risk-neutral-valuation lewis-method
  • Updated Mar 14, 2026
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