RDP 8902: Option Prices and Implied Volatilities: An Empirical Analysis
Equation
c
=
fN
(
d
1
)
−
xN
(
d
2
)
p
=
−
fN
(
−
d
1
)
+
xN
(
−
d
2
)
where
d
1
=
log
(
f
/
x
)
σ
√
t
∗
+
1
2
σ
√
t
∗
d
2
=
d
1
−
σ
√
t*
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