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Function Description

Returns the price  of a European call option assuming that the (generalised) Black-Scholes (i.e. Garman-Kohlhagen) pricing formula applies.


If the current price of the underlying is , the strike (i.e. exercise) price of the option is , the continuously compounded rate of interest is , the continuously compounded annualised dividend yield (assumed continuous not discrete) is , time now (in years) is , time at expiry is  and the (annualised) implied volatility is  then the price of such an option is given by:



where  is the cumulative unit normal distribution function (see MnCumulativeNormal), i.e.






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