d1 is ln(SpotPrice/StrikePrice)+((RiskFreeRate + (0.5*(sigma^2)))*TimeToMaturity)
d2 is SpotPrice-sigma*TimeToMaturity^0.5
These equations are taken from the spreadsheet found in the related link
Chat with our AI personalities
Suppose X1 = N1/D1 and X2 = N2/D2 are two rational expressions, where the numerators N1 and N2 and denominators D1 and D2 are simpler expressions. Then X1 * X2 = (N1*N2)/(D1*D2) and X1 / X2 = (N1*D2)/(D1*N2).
1/2 d1 d2
d1=[log(S/E)+(r+(sigma)2(T-t)]/sigma*Sq(T-t) d2=[log(S/E)+(r-(sigma)2(T-t)]/sigma*Sq(T-t) Sq means square root. S is price of asset E is the Excercise price r is interest rate sigma is the volatility T-t is time to maturity d2 is very similar to d1 but notice the minus sign. Another useful property is d2=d1-Sq(T-t)
they are also multiplied. When multiplying fractions: (N1/D1) x (N2/D2). The new product is (N1 x N2) / (D1 x D2).
The answer is half the product of the length of its diagonals... 1/2(d1*d2) it can also be 1/2 times x times y