Vanilla Call Option Price in the CGMY Model

Posted by Chun-Yuan Chiu


Show parameters of the CGMY model (annulized)

Risk free interest rate

Show inputs of the numerical method

Number of grid points

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Call value

The price of a vanilla call option in the CGMY 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, CGMY Model

 •  Mar 15, 2014  • 

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