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C19 : Other special functions

c05bac    nag_lambertW
Real values of Lambert's W function, W(x)
c05bbc    nag_lambertW_complex
Values of Lambert's W function, W(z)
s30aac    nag_bsm_price
Black–Scholes–Merton option pricing formula
s30abc    nag_bsm_greeks
Black–Scholes–Merton option pricing formula with Greeks
s30bac    nag_lookback_fls_price
Floating-strike lookback option pricing formula
s30bbc    nag_lookback_fls_greeks
Floating-strike lookback option pricing formula with Greeks
s30cac    nag_binary_con_price
Binary option: cash-or-nothing pricing formula
s30cbc    nag_binary_con_greeks
Binary option: cash-or-nothing pricing formula with Greeks
s30ccc    nag_binary_aon_price
Binary option: asset-or-nothing pricing formula
s30cdc    nag_binary_aon_greeks
Binary option: asset-or-nothing pricing formula with Greeks
s30fac    nag_barrier_std_price
Standard barrier option pricing formula
s30jac    nag_jumpdiff_merton_price
Jump-diffusion, Merton's model, option pricing formula
s30jbc    nag_jumpdiff_merton_greeks
Jump-diffusion, Merton's model, option pricing formula with Greeks
s30nac    nag_heston_price
Heston's model option pricing formula
s30nbc    nag_heston_greeks
Heston's model option pricing formula with Greeks
s30qcc    nag_amer_bs_price
American option: Bjerksund and Stensland pricing formula
s30sac    nag_asian_geom_price
Asian option: geometric continuous average rate pricing formula
s30sbc    nag_asian_geom_greeks
Asian option: geometric continuous average rate pricing formula with Greeks

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© The Numerical Algorithms Group Ltd, Oxford UK. 2012