

Black-Scholes Option Pricing Model in Scheme - ericlc
http://blog.ecounysis.com/black-scholes-option-pricing-model-in-scheme

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ericlc
The magic numbers p and b1-b5 were obtained from approximation (2) in Bryc, W.
"A uniform approximation to the right normal tail integral", Applied
Mathematics and Computation, Volume 127, Issue 2-3 (April 2002), Pages
365-374. I have added links to this reference in the post if you'd like to
look at it.

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sqrt17
Where do the magic numbers (p, b1-b5) come from? Are these empirically found
using curve fitting?

Also, wouldn't it be better to write things like

    
    
       (+ (- (* (exp (* (- r) t)) strike) s) call)))
    

in a more schemer-friendly way as

    
    
      (+ call (- s) (* strike (exp (- (* r t)))))
    

to avoid parenthesis syndrome?

(I was probably wrong to expect self-explanatory code, e.g. with docstrings,
but IMO the readability could be improved)

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infamouscow
Black-Scholes Option Pricing Model in C, from the same author:

[http://blog.ecounysis.com/black-scholes-option-pricing-
model...](http://blog.ecounysis.com/black-scholes-option-pricing-model-in-c)

