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IMOS - Trading & Risk - Option Valuation Formulas

This reference article contains the option formulas for our Black (1976) and Turnbull Wakeman option models.

black_formula_phi

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black_formula_phi_PDF

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CalcTimeToExpiration 

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CalcTotalAveragingPeriodTime

image-20250310-201300.png

CalcAdjustedVolatility

image-20250310-135224.png

CalcBlack76Price

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CalcTurnbullWakemanPrice

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CalculateOptionGreeks

Black 1976

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Turnbull Wakeman

image-20250310-201459.png

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