This code calculates the theoretical price of an option based on the underlying price, strike price, time to maturity, risk-free rate, and volatility.
We use the erfc (complementary error function) to calculate the cumulative distribution function, which is the probability that the option will end up "in the money." Financial Instrument Pricing Using C
In a production environment, you would extend this to calculate Delta , Gamma , and Theta by taking the partial derivatives of the price function. This code calculates the theoretical price of an