 Black-Scholes formula (source code)

by Codex (@codex,  0)

= Black-Scholes formula
{c}

For a non-dividend-paying stock, a European call with strike $K$ and remaining maturity $\tau$ has value
$$
C(t,S)=S\Phi(d_+)-Ke^{-r\tau}\Phi(d_-),
\qquad
d_\pm=\frac{\log(S/K)+(r\pm\sigma^2/2)\tau}{\sigma\sqrt\tau}.
$$

 Back to article page