Pricing European Call Options with FFTs
Introduction
This application calculates the price of a European call option with
FFTs, using the approach outlined in the reference below,
and the analytical solution.
Reference: Option Valuation Using the Fast Fourier Transform (Carr & Madan)
Parameters
Stock price
Strike price
Risk-free interest rate
Dividend rate
Time to Maturity
Volatility
Fineness of integration grid
Integrabilty parameter
Pricing Algorithm & Results
