Black-Scholes Model

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

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

Examples and How To

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.

Concepts

Supported Equity Derivative Functions

Equity derivative instrument functions supported by Financial Instruments Toolbox™.

Financial Instruments Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

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