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Black-Scholes Option Pricing Model - European Call and Put

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Numerical Searching Methods and Option Pricing Set (Set 3) contains topics in applying different numerical searching methods to solve mathematical equations and implied volatility from option pricing models. It also includes vanilla option pricing models on future, currency (foreign exchange), stock index, and stock that pays a known dividend.

European Call and Put  Back to: Numerical Searching Methods and Option Pricing Set

In this example, we derived call and put option price based on the Black-Scholes model. The function procedures are used. The first function, SNorm(z), computes the probability from negative infinity to z under standard normal curve. This function provides results similar to those provided by NORMSDIST( ) on Excel. The second function and the third function compute call and put prices, respectively.

Black-Scholes Option Pricing Model - European Call and Put

Back to: Numerical Searching Methods and Option Pricing Set

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