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Price Derivative Instruments

Analyze equity option valuation and sensitivity

An equity derivative is a contract whose value is at least partly derived from one or more underlying equity securities. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price Vanilla, Asian, Lookback, Barrier, and Spread options with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Equity Derivatives (Financial Instruments Toolbox).


binprice Binomial put and call American option pricing using Cox-Ross-Rubinstein model
blkimpv Implied volatility for futures options from Black model
blkprice Black model for pricing futures options
blsdelta Black-Scholes sensitivity to underlying price change
blsgamma Black-Scholes sensitivity to underlying delta change
blsimpv Black-Scholes implied volatility
blslambda Black-Scholes elasticity
blsprice Black-Scholes put and call option pricing
blsrho Black-Scholes sensitivity to interest rate change
blstheta Black-Scholes sensitivity to time-until-maturity change
blsvega Black-Scholes sensitivity to underlying price volatility
opprofit Option profit


Pricing and Analyzing Equity Derivatives

Compute prices, sensitivities, and profits for portfolios of equity options using the Black-Scholes model for European options and the binomial model for American options.

Greek-Neutral Portfolios of European Stock Options

This example creates an equity option portfolio using the Black-Scholes model for European options that is simultaneously delta, gamma, and vega neutral.

Plotting Sensitivities of an Option

This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.

Plotting Sensitivities of a Portfolio of Options

This example plots gamma as a function of price and time for a portfolio of 10 Black-Scholes options.

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