Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility.
Black- Scholes- Merton on Variance Form
In some...
![WMT: Generalized Black-Scholes-Merton on Variance Form [Loxx]](https://s3.tradingview.com/s/SHgHh05Y_mid.png "Generalized Black-Scholes-Merton on Variance Form [Loxx]")
