BSCALL.F — SOURCE LISTING
FORTRAN 77
INTERACTIVE TERMINAL
RUN MODULE
$
CURRENT PRICE OF THE UNDERLYING ASSET
$
EXERCISE PRICE OF THE OPTION CONTRACT
YR
ANNUALIZED TIME TO MATURITY
%
CONTINUOUS COMPOUNDING, DECIMAL FORM (0.05 = 5%)
σ
ANNUALIZED STANDARD DEVIATION OF LOG RETURNS
OUTPUT — PROGRAM RESULTS
AWAITING EXECUTION
C = S·N(d₁) − K·e⁻ʳᵀ·N(d₂) WHERE
d₁ = [ln(S/K) + (r + σ²/2)T] / σ√T
d₂ = d₁ − σ√T
BLACK, F. & SCHOLES, M. (1973). THE PRICING OF OPTIONS AND CORPORATE LIABILITIES. JPE 81(3), 637–654.
BLACK, F. & SCHOLES, M. (1973). THE PRICING OF OPTIONS AND CORPORATE LIABILITIES. JPE 81(3), 637–654.