Calculator of Call and Put Option Prices

Note: The underlying is assumed to follow a Mean Reverting Geometric Brownian Motion

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Current Price	=
Long Run Price	=
Strike Price	=
Interest Rate (%)	=
Time To Maturity	=
Pull Parameter	=
Drift Rate	=
Call Volatility	=
Put Volatility	=

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References

R. Brooks, Building Financial Derivatives Applications with C++, Quorum Books (2000).

Chronology

Date || Version || Author

3/28/07 || 1.0 || Razvan Pascalau