black_scholes_call.cc

Financial Recipes

#include <cmath>              // mathematical C library
#include "normdist.h"         // the calculation of the cumularive normal distribution

double option_price_call_black_scholes( double S,       // spot (underlying) price
					double X,       // strike (exercise) price,
					double r,       // interest rate
					double sigma,   // volatility 
					double time) {  // time to maturity 
    double time_sqrt = sqrt(time);
    double d1 = (log(S/X)+r*time)/(sigma*time_sqrt)+0.5*sigma*time_sqrt; 
    double d2 = d1-(sigma*time_sqrt);
    double c = S * N(d1) - X * exp(-r*time) * N(d2);
    return c;
};