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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

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CalcAdjustedVolatility

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CalcBlack76Price

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CalcTurnbullWakemanPrice

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CalculateOptionGreeks

Black 1976

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Turnbull Wakeman

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