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◾ Some Approximate Values of the Black Scholes Call Formula
| Content Provider | Scilit |
|---|---|
| Author | Davison, Matt |
| Copyright Year | 2014 |
| Description | In Chapter 23 we solved the Black Scholes equation for a Call Option to yield: C S t SN d Ke N d r T t( , ) ( ) ( )= − − −( )1 2 where d S K r T t T t d d T t1 1 2 = + + − − = − − ln ( ) , σ σ σ and where N(x) denotes the standard cumulative normal distribution. is is a fairly complicated formula, although of course it is easy to code it into a spreadsheet and thereby get numerical values for whatever input parameters are used. Book Name: Quantitative Finance |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2010-0-49971-6&isbn=9780429194962&doi=10.1201/b16039-28&format=pdf |
| Ending Page | 325 |
| Page Count | 14 |
| Starting Page | 312 |
| DOI | 10.1201/b16039-28 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2014-05-08 |
| Access Restriction | Open |
| Subject Keyword | Book Name: Quantitative Finance Normal Distribution Black Scholes Fairly Complicated Standard Cumulative Complicated Formula |
| Content Type | Text |
| Resource Type | Chapter |