Subject: Question about derivation and normal distribution
From: Julien Martin
Date: Thu, 29 Oct 2009 13:48:08 +0100
Hello,
I have the following function:
C(S,t):=S*N(d1)-K*exp(-r*(T-t))*N(d2)
where N(d1) is the normal cumulative distribution with d1 as parameter.
I am trying to use maxima in order to compute a first-order partial
derivative of the above C(S,t) function as follows:
diff(C(S,t),t)
I don't know how to express the cumulative normal distribution nor how to
derivate it.
Can anyone please help?
Thanks in advance,
Julien.