TSLA Widget · Mon, Oct 5
Andy Pants · live · Yahoo
Market: …
Black–Scholes (call)
C = S N(d1) − K e−rT N(d2)
d1 = [ln(S/K) + (r + σ²/2) T] / (σ √T)
d2 = d1 − σ √T
- S
- spot
- K
- strike
- T
- years to expiry
- r
- risk-free rate
- σ
- volatility
- N(·)
- normal CDF
- C
- call price
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Eastern
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