optstockbyblk - Price options on futures using Black option pricing model

Syntax

Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity,
OptSpec, Strike)

Arguments

RateSpec	The annualized continuously compounded rate term structure. For information on the interest rate specification, see intenvset.
StockSpec	Stock specification. See stockspec.
Settle	NINST-by-1 vector of settlement or trade dates.
Maturity	NINST-by-1 vector of maturity dates.
OptSpec	NINST-by-1 cell array of strings 'call' or 'put'.
Strike	NINST-by-1 vector of strike price values.

Description

Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike) computes option prices on futures using the Black option pricing model.

Price is a NINST-by-1 vector of expected option prices.

Examples

Consider two European call options on a futures contract with exercise prices of $20 and $25 that expire on September 1, 2008. Assume that on May 1, 2008 the contract is trading at $20, and has a volatility of 35% per annum. The risk-free rate is 4% per annum. Using this data, calculate the price of the call futures options using the Black model:

Strike = [20; 25];
AssetPrice = 20;
Sigma = .35;
Rates = 0.04;
Settle = 'May-01-08';
Maturity = 'Sep-01-08';

Create RateSpec and StockSpec:

RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,...
 'EndDates', Maturity, 'Rates', Rates, 'Compounding', -1);

StockSpec = stockspec(Sigma, AssetPrice);

Define the call options:

OptSpec = {'call'};

Calculate the price using the Black option pricing model:

Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity,...
OptSpec, Strike)
Price =
    1.5903
    0.3037

See Also

impvbyblk | intenvset | optstocksensbyblk | stockspec

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