申論題

1. (20%) The Black-Scholes formula for a call option with six input parameters (S, X, r, q, σ,T) is as follows. c(S,X,r,q,σ,T) = Se^-qTN(d₁) - Xe^-rTN(d₂),

where, and  N(●) is the cumulative distribution function of the standard normal distribution defined as
where n(●) is the probability density function of the standard normal distribution.

(b) (10%) Derive and express the form of Cn(D) + EN(D) + FN(G). What are C, D, E, F, and G?