These equations are used for pricing European call options and put options on stocks, futures and currencies.
These equations are known as the generalized Black & Scholes model. Three well known models are special cased of this equation (hence the term 'generalized'):
Y=r Black & Scholes model for options on stock
Y=0 Black model for options on futures
Y=r-rf Garman Colhagen for options on currencies
List of symbols
C
Price of the call option
P
Price of the put option
S
Present value of the underlying asset
Y
Yield of the underlying asset. Y=r for stock, Y=0 for futures
