Biger And Hull

# Currency call option pricing model for premium estimation

First the value of d is calculated

(1)
\begin{align} d=\frac{\ln\frac{S}{X}+(r-f+\frac{\sigma^2}{2})T}{\sigma\sqrt{T}} \end{align}

Next the d value is inserted with other terms as shown below into the following equation

(2)
\begin{align} C=\frac{S}{e^f^T}N(d)-\frac{X}{e^r^T}N(d-\sigma\sqrt{T}) \end{align}

The symbols are defined as follows: