Tuesday, June 11, 2013

Digital option with Black and Scholle


unction CallBlackScholesDigit(S,K,r,sigma,q,T,t)
{
 
 return (NCDF(D2BlackScholes(S,K,r,sigma,q,T,t),0,1)*K*Math.exp(r*(T-t)*-1.0));
}

function PutBlackScholesDigit(S,K,r,sigma,q,T,t)
{
 
 return (NCDF(-D2BlackScholes(S,K,r,sigma,q,T,t),0,1)*K*Math.exp(r*(T-t)*-1.0));
}

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