Created
September 4, 2008 14:52
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function cnd(d) | |
{ | |
var A1 = 0.31938153; | |
var A2 = -0.356563782; | |
var A3 = 1.781477937; | |
var A4 = -1.821255978; | |
var A5 = 1.330274429; | |
var RSQRT2PI = 0.3989422804; | |
var K = 1.0 / (1.0 + 0.2316419 * Math.abs(d)); | |
var c = RSQRT2PI * Math.exp(-0.5 * d * d) * (K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5))))); | |
var ret; | |
if (d > 0.0) { | |
ret = 1.0 - c; | |
} else { | |
ret = c; | |
} | |
return ret; | |
} | |
function BlackScholes(S, X, T, R, V) | |
{ | |
var sqrtT = Math.sqrt(T); | |
var d1 = (Math.log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT); | |
var d2 = d1 - V * sqrtT; | |
var cnd_d1 = cnd(d1); | |
var cnd_d2 = cnd(d2); | |
var expRT = Math.exp(-1.0 * R * T); | |
var retCall = S * cnd_d1 - X * expRT * cnd_d2; | |
return retCall; | |
} | |
var i; | |
var S = 40.0; | |
var X = 50.0; | |
var T = 0.333; | |
var R = 0.08; | |
var V = 0.30; | |
var v; | |
var N = 10000000; | |
for (i = 0; i < N; i++) { | |
v = BlackScholes(S, X, T, R, V); | |
} | |
print(v) | |
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