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Update snippet 'Black Scholes Option Pricing'
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The code shows simple implementation of blackscholes algorithm.
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type Style = Call | Put let cnd x = let pow x n = exp (n * log(x) ) let a1 = 0.31938153 let a2 = -0.356563782 let a3 = 1.781477937 let a4 = -1.821255978 let a5 = 1.330274429 let pi = 4.0 * atan 1.0 let l = abs(x) let k = 1.0 / (1.0 + 0.2316419 * l) let w = ref (1.0-1.0/sqrt(2.0*pi)*exp(-l*l/2.0)*(a1*k+a2*k*k+a3*(pow k 3.0)+a4*(pow k 4.0)+a5*(pow k 5.0))) if (x < 0.0) then w := 1.0 - !w !w // call_put_flag: 'c' if call option; otherwise put option // s: stock price // x: strike price of option // t: time to expiration in years // r: risk free interest rate // v: volatility let black_scholes style s x t r v = let d1=(log(s / x) + (r+v*v/2.0)*t)/(v*sqrt(t)) let d2=d1-v*sqrt(t) match style with | Call -> s*cnd(d1)-x*exp(-r*t)*cnd(d2) | Put -> x*exp(-r*t)*cnd(-d2)-s*cnd(-d1) // Example usage:: // black_scholes Call 60.0 65.0 0.25 0.08 0.3;;
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finance
finance
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