On Wed, Sep 30, 2015 at 09:12:20AM +0300, Michel Guirguis wrote: > Good afternoon, > > How to calculate the cumulative normal distribution function CND in > order to use this figure to calculate the call option based on the > Black and Scholes model. > > >>> from math import* > >>> def CND(X): > m = abs(X) > > [a1,a2,a3,a4,a5]=(0.31938153,-0.356563782,1.781477937,-1.821255978,1.330274429) > k = 1/(1+0.2316419*m) > CND1 = 1.0-1.0/ sqrt(2*3.1415)* exp(-m*m*0.5) > CND2 =(a1*k + a2*k*k+a3*k*k*k+a4*k*k*k*k+a5*k*k*k*k*k) > CND = CND1*CND2
That cannot possibly be the *cumulative* normal distribution, as that should approach 1 as x gets really large: py> CND(2000000.0) 6.893832052455898e-07 Are you sure this is the right description or algorithm? -- Steve _______________________________________________ Tutor maillist - Tutor@python.org To unsubscribe or change subscription options: https://mail.python.org/mailman/listinfo/tutor
