Files

CallOption.cpp

#include "CallOption.h"

#include "matlib.h"

CallOption::CallOption() :
  strike(0.0),
  maturity(0.0) {
}



double CallOption::price( 
        const BlackScholesModel& bsm ) const {
    double S = bsm.stockPrice;
    double K = strike;
    double sigma = bsm.volatility;
    double r = bsm.riskFreeRate;
    double T = maturity - bsm.date;

    double numerator = log( S/K ) + ( r + sigma*sigma*0.5)*T;
    double denominator = sigma * sqrt(T );
    double d1 = numerator/denominator;
    double d2 = d1 - denominator;
    return S*normcdf(d1) - exp(-r*T)*K*normcdf(d2);
}