Parameters

Values

Stock Price,

100

Strike Price/Exercise Price, K

80, 90, 100, 110, 120

Risk free interest rate, r

5%

Volatility,

50%

Dividend yield, q

5%

Time to expiry, T

0.0822

Size of integration grid, N

2¹⁴

Integrability, a

2

Fineness,

5%

Constant, c

1