OPT_FRENCH(call_put_flag,spot,strike,time,t2,rate,volatility[,cost_of_carry])
OPT_FRENCH values the theoretical price of a European option adjusted for trading day volatility, struck at strike on an asset with spot price spot.
call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
time the number of calendar days to exercise divided by calendar days in the year.
t2 is the number of trading days to exercise divided by trading days in the year.
rate is the risk-free interest rate.
cost_of_carry is the leakage in value of the underlying asset, to the exercise date, in percent.
For common stocks, this would be the dividend yield.
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.