Vanilla Call Option Price

Posted by Chun-Yuan Chiu

Input:

Show inputs of the numerical method

Number of grid points

The settings of the derivative

Initial underlying asset price
Strike price
Risk free interest rate (annulized)
Volatility (annulized)
Time to maturity Years
Output:
Call value

The price of a vanilla call option in the Black-Scholes model. This is an implementation of the algorithm proposed by Carr and Madan (1999) which involves the FFT to result in a very good efficiency. For now the number of grid points can only be a power of 2.

Tagged: FFT, Vanilla Option, Black-Scholes model

 •  Sep 29, 2013  • 

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