Tag Info

Hot answers tagged


The only special function needed for computing Black-Scholes option prices is the cumulative normal function ("N" or "Phi") or equivalently the error function ("erf"). These are very widely available with good standard library implementations. The erf function in single and double precision is part of the c99 and c++11 math standard libraries. For your ...

Only top voted, non community-wiki answers of a minimum length are eligible