- Function File: [Call, Put] = blsprice (Price, Strike, Rate, Time, Volatility)
- Function File: [Call, Put] = blsprice (Price, Strike, Rate, Time, Volatility, Yield)
Compute European call and put option prices.
- Variable: Price The current price of the underlying asset.
- Variable: Strike The strike price the option is written on.
- Variable: Rate The risk-free interest rate.
- Variable: Time The time-to-expiry.
- Variable: Volatility The volatility of the underlying asset.
- Variable: Yield (Optional, default = 0) Annualized, continuously compounded rate of dividends of the underlying asset.
Computes the European call and put option prices using the Black-Scholes model.
See also: blskprice, blsdelta, blsgamma, blsimpv, blslambda, blsrho, blstheta, blsvega.
Package: financial