Documentation |
Black model for pricing futures options
[Call, Put] = blkprice(Price, Strike, Rate, Time, Volatility)
Price | Current price of the underlying asset (a futures contract). |
Strike | Strike or exercise price of the futures option. |
Rate | Annualized, continuously compounded, risk-free rate of return over the life of the option, expressed as a positive decimal number. |
Time | Time until expiration of the option, expressed in years. Must be greater than 0. |
Volatility | Annualized futures price volatility, expressed as a positive decimal number. |
[Call, Put] = blkprice(ForwardPrice, Strike, Rate, Time, Volatility) uses Black's model to compute European put and call futures option prices.
Any input argument may be a scalar, vector, or matrix. When a value is a scalar, that value is used to compute the implied volatility from all options. If more than one input is a vector or matrix, the dimensions of all non-scalar inputs must be identical.
Rate, Time, and Volatility must be expressed in consistent units of time.