Pricing European Call Options with FFTs - Maple Programming 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.



Stock price

So = 

Strike price

K = 

Risk-free interest rate

r = 

Dividend rate

q = 

Time to maturity

T = 


σ = 

Fineness of integration grid

N = 

Integrability parameter

α = 


Pricing Algorithm and Results

Download Help Document

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