blsprice
Black-Scholes put and call option pricing
Description
[
computes European put and call option prices using a Black-Scholes model.Call
,Put
]
= blsprice(Price
,Strike
,Rate
,Time
,Volatility
)
Note
Any input argument can be a scalar, vector, or matrix. If a scalar, then that value is used to price all options. If more than one input is a vector or matrix, then the dimensions of those non-scalar inputs must be the same.
Ensure that Rate
, Time
,
Volatility
, and Yield
are
expressed in consistent units of time.
Examples
Input Arguments
Output Arguments
References
[1] Hull, John C. Options, Futures, and Other Derivatives. 5th edition, Prentice Hall, 2003.
[2] Luenberger, David G. Investment Science. Oxford University Press, 1998.
Version History
Introduced before R2006a