S30AAF Example Program Results

 Black-Scholes-Merton formula
 European Call :
  Spot       =   55.0000
  Volatility =    0.3000
  Rate       =    0.1000
  Dividend   =    0.0000

    Strike    Expiry    Option Price
   58.0000    0.7000          5.9198
   58.0000    0.8000          6.5506
   60.0000    0.7000          5.0809
   60.0000    0.8000          5.6992
   62.0000    0.7000          4.3389
   62.0000    0.8000          4.9379