Pricing European Call Options with FFTs - Maple Help

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Pricing European Call Options with FFTs

This application calculates the price of a European call option with:

 • FFTs using the approach outlined in the Option Valuation Using the Fast Fourier Transform (Carr & Madan).
 • The analytical solution using the BlackScholesPrice command.

 Parameters Stock price Strike price Risk-free interest rate Dividend rate Time to maturity Volatility Fineness of integration grid Integrability parameter

 Pricing Algorithm and Results



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