public static double EuroCallPricing(SharpExcelObject option, double r)
{
var call = option.To <EuroCallOption>();
var stock = call.Underlying;
var s = stock.Price;
var q = stock.Dividend;
var σ = stock.Sigma;
var k = call.Strike;
var T = call.Maturity;
var d1 = (Log(s / k) + T * (r - q + σ * σ / 2)) / (σ * Sqrt(T));
var d2 = (Log(s / k) + T * (r - q - σ * σ / 2)) / (σ * Sqrt(T));
var n1 = NormDist(d1);
var n2 = NormDist(d2);
return(Exp(-q * T) * s * n1 - Exp(-r * T) * k * n2);
}
public EuroCallOption(string name, double strike, double maturity, SharpExcelObject underlying) :
base(name, strike, maturity, underlying)
{
}
public StockOption(string name, double strike, double maturity, SharpExcelObject underlying) : base(name)
{
this.Strike = strike;
this.Maturity = maturity;
this.Underlying = underlying.To <Stock>();
}
