PROC BS
* INPUTS: [K] EXERCISE PRICE
*         [S] STOCK PRICE
*         [SIG] STANDARD DEVIATION
*         [TAU] TIME TO EXPIRATION
*         [R] RISK FREE INTEREST RATE
* OUTPUTS: C_ CALL PRICE
*          P_ PUT PRICE 
GENR D1_=(LOG([S]/[K])+([R]+([SIG]**2)/2)*[TAU])/([SIG]*SQRT([TAU]))
GENR D2_=D1_-[SIG]*SQRT([TAU])
GENR C_=[S]*NCDF(D1_)-[K]*EXP(-[R]*[TAU])*NCDF(D2_)
GENR P_=-[S]*NCDF(-D1_)+[K]*EXP(-[R]*[TAU])*NCDF(-D2_)
PRINT [S] [K] C_ P_
PROCEND