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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

 

 

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