Documentation |
Black-Scholes put and call option pricing
[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield)
Price | Current price of the underlying asset. |
Strike | Exercise price of the option. |
Rate | Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |
Time | Time to expiration of the option, expressed in years. |
Volatility | Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number. |
Yield | (Optional) Annualized, continuously compounded yield of the underlying asset over the life of the option, expressed as a decimal number. (Default = 0.) For example, for options written on stock indices, Yield could represent the dividend yield. For currency options, Yield could be the foreign risk-free interest rate. |
[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield) computes European put and call option prices using a Black-Scholes model.
Any input argument may be a scalar, vector, or matrix. When a value is a scalar, that value is used to price all the options. If more than one input is a vector or matrix, the dimensions of all non-scalar inputs must be identical.
Rate, Time, Volatility, and Yield must be expressed in consistent units of time.
Note: blsprice can handle other types of underlies like Futures and Currencies. When pricing Futures (Black model), enter the input argument Yield as: Yield = Rate When pricing currencies (Garman-Kohlhagen model), enter the input argument Yield as: Yield = ForeignRate where ForeignRate is the continuously compounded, annualized risk free interest rate in the foreign country. |