Show inputs of the numerical method
The settings of the derivative
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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