/ BLACK SHOLES

pi: 3.142

mynorm:{[d] (1 % (sqrt 2 * pi)) * exp(neg 0.5*d*d)}

/ finding the black sholes price of an option
blacksholes:{[price; strike; interest; sigma; mytime]
  time_sqrt: sqrt[mytime];
  d1: ((log(price % strike)) + (interest*mytime));
  d1%: ((sigma * time_sqrt));
  d1+: 0.5 * sigma * time_sqrt;
  d2: d1 - (sigma * time_sqrt);
  c: (price*mynorm[d1]) - (strike * exp((neg interest)*mytime) * mynorm[d2]);
  c}


price: 100;
strike: 140;
interest: 0.0;
sigma: 0.4;
mytime: 50;
x: blacksholes[price; strike; interest; sigma; mytime]
x