blackandscholes.py 文件源码

def _BlackScholesCall(S, K, T, sigma, r, q):
            d1 = (log(S/K) + (r - q + (sigma**2)/2)*T)/(sigma*sqrt(T))
            d2 = d1 - sigma*sqrt(T)
            return S*exp(-q*T)*norm.cdf(d1) - K*exp(-r*T)*norm.cdf(d2)