Re:Black-Scholes Option Pricing Model in Scheme
by ericlc on Sunday July 11, 2010 @10:47AM
(#1505532)
The magic numbers p and b1-b5 were obtained from approximation (2) in Bryc, W. "A uniform approximation to the right normal tail integral", Applied Mathematics and Computation, Volume 127, Issue 2-3 (April 2002), Pages 365-374.
I have added links to this reference in the post if you'd like to look at it.
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