Fourier pricing

Pricing from the characteristic function: Carr and Madan’s FFT, Lewis’s single integral and Fang and Oosterlee’s COS expansion.

Carr and Madan’s FFT

Carr and Madan's FFT

Lewis’s single-integral formula

Lewis's single-integral formula

Fang and Oosterlee’s COS method

Fang and Oosterlee's COS method