Garman-Kohlhagen Formula

where  is the cumulative normal distribution and

If , this is the standard form of the Black-Scholes formula.

REFERENCES:

Garman, M. B. and Kohlhagen, S. W. "Foreign Currency Option Values." J. International Money and Finance 2, 231-237, 1983.

Price, J. F. "Optional Mathematics is Not Optional." Not. Amer. Math. Soc. 43, 964-971, 1996.