Application Center - Maplesoft
  Submit your work
Application Center Applications Pricing European Call Options with FFTs Preview

App Preview:

Pricing European Call Options with FFTs

You can switch back to the summary page by clicking here.

Learn about Maple
Download Application



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)

> 

restart

Parameters

Stock price

> 

So := 110.0:

Strike price

> 

K := 105.0:

Risk-free interest rate

> 

r := 0.5e-1:

 Dividend rate

> 

q := 0.3e-1:

Time to Maturity

> 

T := 4:

Volatility

> 

sigma := .35:

Fineness of integration grid

> 

N := 2^8:

Integrabilty parameter

> 

alpha := 3:

 

Pricing Algorithm & Results

Algorithm to Price European Option Via FFTs & Analytical Approach

HFloat(31.299709592205264)

31.30149657

>