Excel System Development

Discussion in 'Strategy Building' started by naifwonder, Jul 13, 2007.

  1. MGJ

    MGJ

    That's an approximation formula for the cumulative normal distribution; number 26.2.17 in Abramowitz and Stegun. You may want to try some of A&S's other formulae and their error bounds.

    [​IMG]
     
    #51     Jul 19, 2007
  2. Presumably at http://www.espenhaug.com/black_scholes.html .. may as well give the poor guy proper credit.

    The rest of the page, B/S in various languages, is also of interest.

    I remember writing approximation-to-normal code 20+ years ago.. memmorrriiiiieeeeesssss..
     
    #52     Jul 19, 2007