[Tutor] Cumulative distribution function
Michel Guirguis
guirguismichel at yahoo.co.uk
Thu Oct 1 09:48:57 CEST 2015
Good morning,
I have a problem with the cumulative distribution function in calculating derivatives. I am getting a call option figure of 2.5961 while it should be 2.9081. Could you please help.
>>>S=50
>>> K=50
>>> r=0.03
>>> q=0.02
>>> sig=0.20
>>> T=0.5
>>> from math import*
>>> d1=(log(S/K)+(r-q+(sig*sig)*0.5)*T)/(sig*sqrt(T))
>>> d1
0.10606601717798211
>>> d2 =d1-sig*sqrt(T)
>>> d2
-0.03535533905932742
>>> def cumdist():
call = 50*exp(-0.02*0.5)*cumdist*(d1)-50*exp(-0.03*0.5)*cumdist*(d2)
>>> call
2.596102990952506
Thanks,
Michel
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