Black-76 Options on Futures is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures. The options sensitivities (Greeks) are the partial derivatives...
Library "cbnd" Description: A standalone Cumulative Bivariate Normal Distribution (CBND) functions that do not require any external libraries. This includes 3 different CBND calculations: Drezner(1978), Drezner and Wesolowsky (1990), and Genz (2004) Comments: The standardized cumulative normal distribution function returns the probability that one random...
Library "cnd" Cumulative Normal Distribution CND1(x) Returns the Cumulative Normal Distribution (CND) using the Hart (1968) method. (preferred method, 14-18 decimal accuracy) Parameters: x : float, Returns: float. CND2(x) Returns the Cumulative Normal Distribution (CND) using the Abromowitz and Stegun (1974) Polynomial...
Library "chi2Inv" chi2Inv(p, n) Returns the inverse cumulative distribution function (icdf) of the chi-square distribution with degrees of freedom nu, evaluated at the probability values in p. Goldstein approximation Parameters: p : float, probability n : float, degress of freedom source. Returns: float.