39 lines
871 B
Text
39 lines
871 B
Text
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\name{callCarrMadan}
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\alias{callCarrMadan}
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\title{Call price using the Carr-Madan damping parameter and FFT}
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\usage{
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callCarrMadan(strikeprice, char.fn, eval.time, expiry.time, rate, alpha, ...,
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fft.control = list(N = 2^14, eta = 0.1))
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}
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\arguments{
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\item{strikeprice}{Vector of strike prices, relative to a
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unit stock price}
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\item{char.fn}{Characteristic function of the log-price
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process}
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\item{eval.time}{Evaluation time}
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\item{expiry.time}{Expiry time}
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\item{rate}{Continuously compounded interest rate (force
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of interest)}
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\item{alpha}{Damping parameter}
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\item{...}{Parameters of the characteristic function}
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\item{fft.control}{Control parameters list for the FFT
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discretization}
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}
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\value{
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A European call option price vector
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}
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\description{
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Call price using the Carr-Madan damping parameter and FFT
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}
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\author{
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Francois Pelletier
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}
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