Programming/Kdb/Labs/Option pricing

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Recall the celebrated Black-Scholes equation

Here

  • is the price of the option;
  • is the price of the underlying asset at time $t$;
  • is the volatility — the standard deviation of the asset's returns;
  • is the annualized risk-free interest rate, continuously compounded;
  • is the annualized (continuous) dividend yield.