Boness 1964 Option Pricing Formula is an options pricing model that pre-dates Black-Scholes-Merton. This model includes Analytical Greeks.
Boness (1964) assumed a lognormal asset price. Boness derives the following value for a call option:
c = SN(d1) - Xe^(rho * T)N(d2)
d1 = (log(S / X) + (rho + v^2 / 2) * T) / (v * T^0.5)
d2 = d1 - (v * T^0.5)
where rho...
![WMT: Boness 1964 Option Pricing Formula [Loxx]](https://s3.tradingview.com/r/RjLacOHv_mid.png "Boness 1964 Option Pricing Formula [Loxx]")
