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

So = 

Strike price

K = 

Risk-free interest rate

r = 

Dividend rate

q = 

Time to maturity

T = 

Volatility

σ = 

Fineness of integration grid

N = 

Integrability parameter

α = 

 

Pricing Algorithm and Results


Download Help Document

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