Black-Scholes Call and Implied Vol functions

Version 1.1.0.0 (3.14 KB) by Hemingway
Black-Scholes call option price and implied vol functions. No toolbox required.
0.0
(0)
1.5K Downloads
Updated 10 Sep 2010

View License

call: function to calculate BS call price
call_vega: BS call vega (i.e. partial derivative of call with respect to vol)
Phi: normal cdf
PhiPrime: normal pdf
impvol: finds vol given a call price

demo: a script demonstrating the impvol function

d1 and d2 are auxiliary functions

NOTE: the impvol function is *hugely* faster than the financial toolbox's function blsimpv (950 call prices, other parameters fixed, impvol is ~600x faster).

Cite As

Hemingway (2024). Black-Scholes Call and Implied Vol functions (https://www.mathworks.com/matlabcentral/fileexchange/28682-black-scholes-call-and-implied-vol-functions), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Financial Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.1.0.0

Added a demo file (code is not commented!).
1.0.0.0