blsprice (Financial Toolbox)

Black-Scholes put and call pricing.

Syntax

[call, put] = blsprice(so, x, r, t, sig, q)
[call, put] = blsprice(so, x, r, t, sig)

Arguments

so: Current asset price.

x: Exercise price.

r: Risk-free interest rate. Enter as a decimal fraction.

t: Time to maturity of the option in years.

sig: Standard deviation of the annualized continuously compounded rate of return of the asset (also known as the volatility).

q: Dividend rate of the asset. Enter as a decimal fraction. Default = 0.

Description

[call, put] = blsprice(so, x, r, t, sig, q)

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.

Example

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%.

[call, put] = blsprice(100, 95, 0.1, 0.25, 0.5)
call =
         13.70
put =
          6.35