3 ms·

Black-Scholes Option Pricing Model in Scheme

• sqrt17 16y ago
  Where do the magic numbers (p, b1-b5) come from? Are these empirically found using curve fitting? Also, wouldn't it be better to write things like (+ (- (* (exp (* (- r) t)) strike) s) call))) in a more schemer-friendly way as (+ call (- s) (* strike (exp (- (* r t))))) to avoid parenthesis syndrome? (I was probably wrong to expect self-explanatory code, e.g. with docstrings, but IMO the readability could be improved)
• deleted 16y ago
  [deleted]
• ericlc 16y ago
  The magic numbers p and b1-b5 were obtained from approximation (2) in Bryc, W. "A uniform approximation to the right normal tail integral", Applied Mathematics and Computation, Volume 127, Issue 2-3 (April 2002), Pages 365-374. I have added links to this reference in the post if you'd like to look at it.
• infamouscow 16y ago
  Black-Scholes Option Pricing Model in C, from the same author: http://blog.ecounysis.com/black-scholes-option-pricing-model-in-c http://blog.ecounysis.com/black-scholes-option-pricing-model...