public static double getCallPrice(double underlyingPrice, double strikePrice, double YTE, double riskFreeRate, double historicalVolatility, double dividendYield)
{
double callOption = Math.Exp(-dividendYield * YTE) * underlyingPrice * NormSDist.N(calculateDOne(underlyingPrice, strikePrice, YTE, riskFreeRate, historicalVolatility, dividendYield)) - strikePrice * Math.Exp(-riskFreeRate * YTE) *
NormSDist.N(calculateDOne(underlyingPrice, strikePrice, YTE, riskFreeRate, historicalVolatility, dividendYield) - historicalVolatility * Math.Sqrt(YTE));
return(callOption);
}
public static double getDelta(double underlyingPrice, double strikePrice, double YTE, double riskFreeRate, double historicalVolatility, double dividendYield)
{
double delta = NormSDist.N(calculateDOne(underlyingPrice, strikePrice, YTE, riskFreeRate, historicalVolatility, dividendYield));
return(delta);
}
private static double calculateNdTwo(double underlyingPrice, double strikePrice, double YTE, double riskFreeRate, double historicalVolatility, double dividendYield)
{
double NdTwo = NormSDist.N(calculateDTwo(underlyingPrice, strikePrice, YTE, riskFreeRate, historicalVolatility, dividendYield));
return(NdTwo);
}
