ABSTRACT
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.
