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	$So =$
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

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