This is your methodology which you stated earlier: "lognormal is used for pricing the options (ie. calculating the premium), and normaldist is used for FairPUT computations. This is the correct method, as I first tried hard with the lognormal but failed b/c as soon as you add risk-free-rate and/or dividends then it doesn't work with lognormal... So, I'm convinced this method is the correct method." You can't use the normaldist function for put computations because stock prices can't go negative.
Dear folks, please ignore the crap argumentations of this @VolSkewTrader idiot! He is talking nothing but Bullshit!
I hereby proudly announce that I now have been able to fix also the flawed payout of the normal PUT option! More info soon...
You shouldn't be promoting and recommending to unsuspecting traders to use a deeply flawed model that would lose them a lot of money. I'm going to ask Baron to remove you from this forum permanenty. You also need to be careful about uploading incorrect reinterpretations of the BSM on GitHub. Your flawed pricing model is both misleading and theoretically incorrect. It's really something you should be ashamed of...definitely not something to be proud of or be bragging about.
Ok, here's it: A NEW PAYOUT METHOD FOR CLASSIC PUT (a long due fix since 1973 ): Code: BSM: S=100.00 K=90.00 s=30% t=1.0 r=0.0 q=0.0 : CALL: Value=17.012880 Delta=0.691885 FairDelta=0.637281 Gamma=0.011728 Vega=0.351854 Theta=-0.014460 Rho=0.521757 ... PUT : Value=7.012880 Delta=-0.308115 FairDelta=-0.362719 Gamma=0.011728 Vega=0.351854 Theta=-0.014460 Rho=-0.378243 ... If PUT option expires at spot 80 (z=-0.392610 from K; the corrosponding spot at the other side (ie. +z) is 101.25) : Old/current/flawed/unfair payout: 10.000000 Profit=2.987120(42.59%) The fair payout has to be: 11.250000 Profit=4.237120(60.42%)