Re: Problem with "Standard Normal Distribution Function"

[artast@xxxx]

Anthony,

Thank you for a quick reply. Please is it possible to check and 
correct Standard Normal Distribution Function (N) and Call formula 
(Call = S*dd1 -E*exp(-r*time)*dd2) by you? dd1 formula is correct 
(1.17) and Call FV should be 15.28 in this example.
Thanks in advance.

Regards,
artast

--- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> Hello Artast;
> 
> I tried your formula in Automatic analysis, and hit explore , it 
seems
> to be using the( apply to and range ) options in the Automatic
> analysis window.
> 
> Anthony
> 
> artast@xxxx wrote:
> 
> > Hello Everybody,
> >
> > I'd like to use Black_Schole Option Formula for my research in AB.
> > But I have a problem to define the "Standard Normal Distribution
> > Function". It is really a long time I am out of school.
> > Please can anybody help me?
> > Thanks in advance.
> >
> > Regards,
> > artast
> >
> > /*The Formula: I entered exact values from the example to check 
Call
> > Fair Value. It should be 15.28. Source
> > www.geocities.com/WallStreet/2529/bsopm.htm */
> >
> > S = 100; //Stock Price for testing
> > time = 0.5; //Time to expiry (days to expir/253 or days to exp/365
> > E = 90; //Strike
> > r = 0.1; //prevailing interest rate
> > Q = 0.2; //Volatility
> > dd1 = (ln(S/E) + (r + Q*Q/2)*time)/(Q*sqrt(time));
> > dd2 = dd1 - Q*sqrt(time);
> > A = 0.33267; //koeficient
> > bb1 = 0.4361836; //koef
> > bb2 = -0.1201676; //koef
> > bb3 = 0.937298; //koef
> > k = 1/(1+ A*dd1);
> > pi = 3.141592654;
> >
> > N = IIf(dd1>0, 1-(1/sqrt(2*pi))*exp((-dd1*dd1)/2) * ((bb1*k)+
> > (bb2*k*k) + (bb3*k*k*k)), IIf(dd1<0, dd2, 0.5)); //Standard Normal
> > Distribution Function
> >
> > Call = S*dd1 -E*exp(-r*time)*dd2; // B&S Formula for Call Option 
FV
> >
> > Filter = 1;
> > AddColumn(C,"C",1.2);
> > AddColumn(Call,"CallFV",1.2);
> > AddColumn(N,"N",1.2);
> > AddColumn(dd1,"dd1",1.2);
> > AddColumn(dd2,"dd2",1.2);
> >
> >
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