Question about derivation and normal distribution


On Thu, 29 Oct 2009, Julien Martin wrote:

< After doing some research I came up with this:
< 
< d1=(log(S/K)+(r+sigma^2/2)*(T-t))/(sigma*sqrt(T-t))
< d2=d1-(sigma*sqrt(T-t))
< 
< C(S,t):=S*cdf_normal(d1)-K*exp(-r*(T-t))*cdf_normal(d2)
< 
< -diff(C(S,t),t)
< 
< This does not give me the expected result....
< 
< Any clue anyone?
 
Try:

? cdf_normal

for information on how to call the function, etc.
I expect that you have not loaded the 'distrib' package, and maxima is
just returning a noun form of cdf_normal...

Leo

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