Financial Toolbox | ![]() ![]() |
Black-Scholes put and call pricing
Syntax
Arguments
Description
[CallPrice, PutPrice] = blsprice(Price, Strike, Rate, Time,
Volatility, DividendRate))
returns the value of call and put options using the Black-Scholes pricing formula.
Note
This function uses normcdf , the normal cumulative distribution function in the Statistics Toolbox.
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Examples
The current price of an asset is $100, the exercise price of the option is $95, the risk-free interest rate is 10%, the time to maturity of the option is 0.25 years, and the standard deviation of the asset is 50%.
See Also
blkprice
, blsdelta
, blsgamma
, blsimpv
, blslambda
, blsrho
, blstheta
, blsvega
References
Bodie, Kane, and Marcus, Investments, page 681.
![]() | blslambda | blsrho | ![]() |