- #1
yamdizzle
- 15
- 0
I was wondering how I can find the derivative of a normal cdf with respect to a boundary parameter?
I can get an answer with Mathematica or something but I have no idea how to actually do this. I don't know how fundamental theorem of calculus can be applied. (if it can be)
[itex]\Phi[/itex]((log(S/K)+(r+σ^2)T)/(σ sqrt(T)))
where phi is the std normal cdf.
I'm doing option pricing analysis but I can't really figure out how to derive this with respect to r or sigma or any other parameter. I would appreciate any help.
I can get an answer with Mathematica or something but I have no idea how to actually do this. I don't know how fundamental theorem of calculus can be applied. (if it can be)
[itex]\Phi[/itex]((log(S/K)+(r+σ^2)T)/(σ sqrt(T)))
where phi is the std normal cdf.
I'm doing option pricing analysis but I can't really figure out how to derive this with respect to r or sigma or any other parameter. I would appreciate any help.