Skip to content

Commit b5fdc9e

Browse files
authored
Merge pull request #17 from gregwinther/master
Minor changes in Black-Scholes formula
2 parents bb76a52 + 0babd0f commit b5fdc9e

1 file changed

Lines changed: 2 additions & 2 deletions

File tree

doc/src/Projects/2020/Project5/BlackScholes/BlackScholes.do.txt

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -163,7 +163,7 @@ where the present value of the exercise price is
163163
given by
164164
!bt
165165
\begin{equation}
166-
PV(E) = Ee^{-rt},
166+
PV(E) = Ee^{-r(T - t)},
167167
\end{equation}
168168
!et
169169
furthermore we have parameters $d_1$,
@@ -179,7 +179,7 @@ furthermore we have parameters $d_1$,
179179
and $d_2$,
180180
!bt
181181
\begin{equation}
182-
d_2 = d_1 - \sigma \sqrt{t},
182+
d_2 = d_1 - \sigma \sqrt{T - t},
183183
\end{equation}
184184
!et
185185
while $N$ is the cumulative normal distribution function.

0 commit comments

Comments
 (0)