Function Definition

Calculates the cumulative normal distribution of x, which in the Black-Scholes option pricing environment will take the form of d1 or d2.

The value returned by oCumNorm(x) is the probability that a variable will be less than x.

Model Definition

Model Approximation

The oCumNorm( ) function uses a numerical approximation of the model definition which produces values of N(x) within six decimal places of the true value. The approximation is: