BSCall
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Function Description
Returns the price of a European call option assuming
that the (generalised) BlackScholes (i.e. GarmanKohlhagen) 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.
and
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