Black Model

Calculate implied volatility, price, and sensitivity for forwards and futures using option pricing model

Functions

impvbyblkDetermine implied volatility using Black option pricing model
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstocksensbyblkDetermine option prices or sensitivities on futures and forwards using Black option pricing 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.

Compute the Option Price on a Future

Consider a call European option on the Crude Oil Brent futures.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.