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Vanilla Option - Price - Black Scholes - Close Form

version 1.0.0.0 (1.32 KB) by Wei Zhang
To calculate vanilla option price by B/S

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Updated 11 Nov 2013

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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

Cite As

Wei Zhang (2020). 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. Retrieved .

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MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
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