Previous Topic

Next Topic

oCumNorm( ) - Model Definition

Function Definition


Calculates the cumulative normal distribution of x, which in the Black-Scholes option pricing environment will take the form of d1 or d2.


The value returned by oCumNorm(x) is the probability that a variable will be less than x.


Model Definition

Equation Template


Model Approximation

The oCumNorm( ) function uses a numerical approximation of the model definition which produces values of N(x) within six decimal places of the true value. The approximation is:

Equation Template



Return to website

Copyright 2013 Hedgebook Ltd.