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Black-Scholes Model

Calculate price and sensitivity for equity options, futures, and foreign currencies using option pricing model

Functions

assetbybls Determine price of asset-or-nothing digital options using Black-Scholes model
assetsensbybls Determine price or sensitivities of asset-or-nothing digital options using Black-Scholes model
barrierbybls Price European barrier options using Black-Scholes option pricing model
barriersensbybls Calculate price or sensitivities for European barrier options using Black-Scholes option pricing model
cashbybls Determine price of cash-or-nothing digital options using Black-Scholes model
cashsensbybls Determine price or sensitivities of cash-or-nothing digital options using Black-Scholes model
chooserbybls Price European simple chooser options using Black-Scholes model
gapbybls Determine price of gap digital options using Black-Scholes model
gapsensbybls Determine price or sensitivities of gap digital options using Black-Scholes model
impvbybls Determine implied volatility using Black-Scholes option pricing model
optstockbybls Price options using Black-Scholes option pricing model
optstocksensbybls Determine option prices or sensitivities using Black-Scholes option pricing model
supersharebybls Calculate price of supershare digital options using Black-Scholes model
supersharesensbybls Calculate price or sensitivities of supershare digital options using Black-Scholes model

Examples and How To

Equity Derivatives Using Closed-Form Solutions

Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.

Pricing European Call Options Using Different Equity Models

This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.

Pricing Using the Black-Scholes Model

Calculate the price of a call and a put option on a stock using the Black-Scholes option pricing model.

Concepts

Digital Option

A digital option is an option whose payoff is characterized as having only two potential values; either a fixed payout, or a zero payout.

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