diff options
Diffstat (limited to 'scaddins/source/pricing')
| -rw-r--r-- | scaddins/source/pricing/black_scholes.cxx | 2 | ||||
| -rw-r--r-- | scaddins/source/pricing/black_scholes.hxx | 2 |
2 files changed, 2 insertions, 2 deletions
diff --git a/scaddins/source/pricing/black_scholes.cxx b/scaddins/source/pricing/black_scholes.cxx index 9380da5c64fd..8a8cd1eb88da 100644 --- a/scaddins/source/pricing/black_scholes.cxx +++ b/scaddins/source/pricing/black_scholes.cxx @@ -888,7 +888,7 @@ double prob_hit(double S, double vol, double mu, } // probability of being in-the-money, ie payoff is greater zero, -// assuming payoff(S_T) > 0 if S_T in [B1, B2] +// assuming payoff(S_T) > 0 iff S_T in [B1, B2] // this the same as the price of a cash or nothing option // with no discounting double prob_in_money(double S, double vol, double mu, diff --git a/scaddins/source/pricing/black_scholes.hxx b/scaddins/source/pricing/black_scholes.hxx index c42ba182a757..cdcb20b84182 100644 --- a/scaddins/source/pricing/black_scholes.hxx +++ b/scaddins/source/pricing/black_scholes.hxx @@ -130,7 +130,7 @@ double prob_hit(double S, double vol, double mu, // probability of being in-the-money, ie payoff is greater zero, -// assuming payoff(S_T) > 0 if S_T in [B1, B2] +// assuming payoff(S_T) > 0 iff S_T in [B1, B2] double prob_in_money(double S, double vol, double mu, double tau, double B1, double B2); double prob_in_money(double S, double vol, double mu, |