Black Scholes Valuation of a European Call Option

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initialize_parameters { S, K, T, sig, r, div }

sqrt_T = sqrt(T);
d1 = (log(S/K)+(r-div+0.5*sig^2)*T)/(sig*sqrt_T)
d2 = d1-(sig*sqrt_T);

call_value = S*exp(-div*T)*standard_normal(d1) - K*exp(-r*T)*standard_normal(d2)

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