Thursday, February 19, 2015

Black Scholes java in pgm



BlackScholes.java
               public class BlackScholes
            {
    public static double callPrice(double s, double x, double r, double sigma, double t)
   {
        double a = (Math.log(s/x) + (r + sigma * sigma/2) * t) / (sigma * Math.sqrt(t));
        double b = a - sigma * Math.sqrt(t);
        return s * Gaussian.Phi(a) - x * Math.exp(-r * t) * Gaussian.Phi(b);
    }

             public static void main(String[] args)
              {
        double s     = Double.parseDouble(args[0]);
        double x     = Double.parseDouble(args[1]);
        double r     = Double.parseDouble(args[2]);
        double sigma = Double.parseDouble(args[3]);
        double t     = Double.parseDouble(args[4]);
        System.out.println(callPrice(s, x, r, sigma, t));
    }
}

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