ajokela

from math import * 

# Cumulative standard normal distribution
def cdf(x):
    return (1.0 + erf(x / sqrt(2.0))) / 2.0

# Intermediate calculation used by both the Bjerksund Stensland 1993 and 2002 approximations
def phi(s, t, gamma, h, i, r, a, v):
    lambda1 = (-r + gamma * a + 0.5 * gamma * (gamma - 1) * v**2) * t
    dd = -(log(s / h) + (a + (gamma - 0.5) * v**2) * t) / (v * sqrt(t))