Vanilla Option - Price - Black Scholes - Close Form

版本 1.0.0.0 (1.3 KB) 作者: Wei Zhang
To calculate vanilla option price by B/S
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The Black-Scholes formulas for the prices of European call and put options are:
c=S_0 e^(-r_f T) N(d_1 )- Ke^(-r_d T) N(d_2)
and
p=Ke^(-r_d T) N(-d_2 )- S_0 e^(-r_f T) N(-d_1)
where
d_1=(ln⁡(S_0/K)+(r_d-r_f+σ^2/2)T)/(σ√T)
d_2=(ln⁡(S_0/K)+(r_d-r_f-σ^2/2)T)/(σ√T)=d_1-σ√T

引用格式

Wei Zhang (2024). Vanilla Option - Price - Black Scholes - Close Form (https://www.mathworks.com/matlabcentral/fileexchange/44258-vanilla-option-price-black-scholes-close-form), MATLAB Central File Exchange. 检索时间: .

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