This application calculates the price of a European call option with:

Parameters

Stock price

$\mathrm{So} \=$

Strike price

$K \=$

Risk-free interest rate

$r \=$

Dividend rate

$q \=$

Time to maturity

$T \=$

Volatility

$\mathrm{\σ} \=$

Fineness of integration grid

$N \=$

Integrability parameter

$\mathrm{\α} \=$

Pricing Algorithm and Results