public double PutPrice(EuropeanCallPutParams optionParameters)
{
double callPrice = CallPrice(optionParameters);
// put-call parity
return(callPrice - optionParameters.s0 + optionParameters.strike * Math.Exp(-p.r * optionParameters.T));
}
public double CallPrice(EuropeanCallPutParams optionParameters)
{
double r = p.r; // Interest rate
double sig = p.sigma; // Volatility
double K = optionParameters.strike; // Strike price
double T = optionParameters.T; // Expiry date
double S = optionParameters.s0;
double tmp = sig * Math.Sqrt(T);
double d1 = (Math.Log(S / K) + (r + 0.5 * sig * sig) * T) / tmp;
double d2 = d1 - tmp;
return(S * SpecialFunctions.N(d1) - (K * Math.Exp(-r * T) * SpecialFunctions.N(d2)));
}
