Black-Scholes Model

Calculate price and sensitivity for equity options, futures, and foreign currencies using option pricing model

The Black-Scholes model assumes the price of assets follows a geometric Brownian motion with constant drift and volatility. When applied to an equity option, the model incorporates the constant price variation of the underlying asset, the time value of money, the option's strike price, and the time to the option's expiry.

Functions

`assetbybls`	Determine price of asset-or-nothing digital options using Black-Scholes model
`assetsensbybls`	Determine price or sensitivities of asset-or-nothing digital options using Black-Scholes model
`barrierbybls`	Price European barrier options using Black-Scholes option pricing model
`barriersensbybls`	Calculate price or sensitivities for European barrier options using Black-Scholes option pricing model
`dblbarrierbybls`	Price European double barrier options using Black-Scholes option pricing model
`dblbarriersensbybls`	Calculate prices and sensitivities for European double barrier options using Black-Scholes option pricing model
`touchbybls`	Price one-touch and no-touch binary options using Black-Scholes option pricing model
`touchsensbybls`	Calculate price or sensitivities for one-touch and no-touch binary options using Black-Scholes option pricing model
`dbltouchbybls`	Price double one-touch and double no-touch binary options using Black-Scholes option pricing model
`dbltouchsensbybls`	Calculate prices and sensitivities for double one-touch and double no-touch binary options using Black-Scholes option pricing model
`cashbybls`	Determine price of cash-or-nothing digital options using Black-Scholes model
`cashsensbybls`	Determine price or sensitivities of cash-or-nothing digital options using Black-Scholes model
`chooserbybls`	Price European simple chooser options using Black-Scholes model
`gapbybls`	Determine price of gap digital options using Black-Scholes model
`gapsensbybls`	Determine price or sensitivities of gap digital options using Black-Scholes model
`impvbybls`	Determine implied volatility using Black-Scholes option pricing model
`optstockbybls`	Price options using Black-Scholes option pricing model
`optstocksensbybls`	Determine option prices or sensitivities using Black-Scholes option pricing model
`supersharebybls`	Determine price of supershare digital options using Black-Scholes model
`supersharesensbybls`	Determine price or sensitivities of supershare digital options using Black-Scholes model

Topics

Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
Pricing European Call Options Using Different Equity Models
This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.