Pricing European Call Options with FFTs - Maple Application Center
Application Center Applications Pricing European Call Options with FFTs

Pricing European Call Options with FFTs

: Maplesoft AuthorSamir Khan
Engineering software solutions from Maplesoft
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This application compares the price of a European call option with FFTs (using the approach outlined by Carr & Madan in Option Pricing Using the Fast Fourier Transform) and the analytical approach. The application uses the efficient FFT function offered by Maple 17’s new Signal Processing tools.

Application Details

Publish Date: March 13, 2013
Created In: Maple 18
Language: English

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