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Black-Scholes-Merton formula

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You know the so called "Black-Scholes-Merton" option formula, that actualy not is the Black-Scholes-Merton formula

Comments

  • jaguar1637 3202 days ago

    In the different implementations below we will use the symbols:

     

     

    S= Stock price

    X=Strike price

    T=Years to maturity

    r= Risk-free rate

     

    v=Volatility


  • jaguar1637 3202 days ago

    should provide in mq4, something like this : 

    _______________________________________________________

    #define Pi 3.141592653589793238462643

    #define a1  0.31938153

    #define a2 -0.356563782

    #define a3 1.781477937

    #define a4 -1.821255978

    #define a5 1.330274429

    // The Black and Scholes (1973) Stock option formula


    double BlackScholes(string CallPutFlag, double S, double X, double T, double r,double v)
    {
    double d1, d2;

    d1=(MathLog(S/X)+(r+v*v/2)*T)/(v*MathSqrt(T));
    d2=d1-v*MathSqrt(T);

    if(CallPutFlag == 'c')
         return( S *CumulDistrib(d1)-X * MathExp(-r*T)*CumulDistrib(d2);
    else

    if(CallPutFlag == 'p')
        return( X * MathExp(-r * T) * CumulDistrib(-d2) - S * CumulDistrib(-d1);
    }

    // The cumulative normal distribution function 
    double CumulDistrib( double X )
    {

    double L, K, w ;

    L = MathAbs(X);
    K = 1.0 / (1.0 + 0.2316419 * L);
    w = 1.0 - 1.0 / MathSqrt(2 * Pi) * MathExp(-L *L / 2) * (a1 * K + a2 * K *K + a3 * MathPow(K,3) + a4 * MathPow(K,4) + a5 * MathPow(K,5));

    if (X < 0 )

           {
           w= 1.0 - w;
           }
      return(w);
    }

    ______________________________________


    So , easy to implement !!!  I think there are some people waiting for this kind of oscillator , isn't it ??

  • zkogan 3114 days ago

    Recently read a small article about these guys, very interesting stuff they created :D But what will the use be? Your formulas after BSM formula make the readings an oscillator (// The cumulative normal distribution function )?

    I presume, if used without any modification, the indie can be something like a VWAP, but more precise (or will it?).