Option Pricing 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


Download Help Document