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Black-Scholes Option Pricing Model - European Call and Put. Finance and Statistics Models
Finance and Statistics Models Set (Set 1) contains different topics in finance and statistics from simple model such as computing standard deviation and mean to more advanced models such as Monte Carlo simulation, multivariate standard normal distribution, multiple regression, and option pricing models.
Black-Scholes Option Pricing Model - European Call and Put Back to: Finance and Statistics Models Set (Set 1)
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.
Back to: Finance and Statistics Models Set (Set 1)
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