Tag Archives: d1 = (log(S / X) + (b + v ^ 2 / 2) * T) / (v * T^0.5)

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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