Black-Scholes put and call option pricing

```
[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield)
```

| Current price of the underlying asset. |

| Exercise price of the option. |

| Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |

| Time to expiration of the option, expressed in years. |

| Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number. |

| (Optional) Annualized, continuously compounded yield
of the underlying asset over the life of the option, expressed as
a decimal number. (Default = |

```
[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility,
Yield)
```

computes European put and call option prices using
a Black-Scholes model.

Any input argument can 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.

Yield = Rate `Yield` as:Yield = ForeignRate `ForeignRate` is
the continuously compounded, annualized risk free interest rate in
the foreign country. |

Hull, John C., *Options, Futures, and Other Derivatives*,
Prentice Hall, 5th edition, 2003.

Luenberger, David G., *Investment Science*,
Oxford University Press, 1998.

Was this topic helpful?