Garman-Kohlhagen Formula
where
is the cumulative Normal Distribution and
If
, this is the standard form of the Black-Scholes formula.See also Black-Scholes Theory
References
Garman, M. B. and Kohlhagen, S. W. ``Foreign Currency Option Values.'' J. International Money and Finance 2, 231-237, 1983. Price, J. F. ``Optional Mathematics is Not Optional.'' Not. Amer. Math. Soc. 43, 964-971, 1996.
- Heun's Differential Equation
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