simple Matlab code for Black Scholes: d1 = (log(S / X) + (b + v ^ 2 / 2) * T) / (v * T^0.5);

 

I have simple Matlab code for Black Scholes:

 

b=r;    d1 = (log(S / X) + (b + v ^ 2 / 2) * T) / (v * T^0.5);    d2 = d1 – v * T^0.5;

I question:

v * T^0.5)

Is this not supposed to be

 

d1=(log(S/X)+(r+v^2/2)*T)/(v*sqrt(T));

d2=d1-v*sqrt(T);

 

Who can set me straight?

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs

2 thoughts on “simple Matlab code for Black Scholes: d1 = (log(S / X) + (b + v ^ 2 / 2) * T) / (v * T^0.5);

  1.  Thanks SIm Con. I already verified that T^0.5 = sqrt(T). I have not looked at Math in this way for at least 15 years

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