Solving for equations with CDF functions
- To: mathgroup at smc.vnet.net
- Subject: [mg67783] Solving for equations with CDF functions
- From: "jmp306 at gmail.com" <jmp306 at gmail.com>
- Date: Fri, 7 Jul 2006 07:13:14 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
I'm trying to do this in mathematica. Bascially it's the black-scholes equation in finance, but I need a solution for K given all the other variables. << Statistics`ContinuousDistributions` << Statistics`DiscreteDistributions` normdist = NormalDistribution[0, 1] d1 = (Log[(S/K)] + (r + delta + .5*sigma^2)*T)/(sigma*Sqrt[T]) d2 = d1 - sigma*Sqrt[T] price = S*Exp[-delta*T]*CDF[normdist, d1] - K*Exp[-r*T]*CDF[normdist, d2] Solve[C == price, K] I think I'm making a pretty dumb error, but I just can't figure out what it is. Any guidence would be very helpful. Thanks Matt