Black-Scholes Model
Calculate price and sensitivity for equity options,
futures, and foreign currencies using option pricing model
The Black-Scholes model assumes the price of assets follows a
geometric Brownian motion with constant drift and volatility. When
applied to an equity option, the model incorporates the constant
price variation of the underlying asset, the time value of money,
the option's strike price, and the time to the option's
expiry.
Functions
Determine price of asset-or-nothing digital options using Black-Scholes
model
Determine price or sensitivities of
asset-or-nothing digital options using
Black-Scholes model
Price European barrier options using Black-Scholes option
pricing model
Calculate price or sensitivities for European barrier
options using Black-Scholes option pricing model
Price European double barrier options using Black-Scholes option pricing
model
Calculate prices and sensitivities for European double barrier options using
Black-Scholes option pricing model
Price one-touch and no-touch binary options using Black-Scholes option pricing
model
Calculate price or sensitivities for one-touch and no-touch binary options using
Black-Scholes option pricing model
Price double one-touch and double no-touch binary options using Black-Scholes
option pricing model
Calculate prices and sensitivities for double one-touch and double no-touch
binary options using Black-Scholes option pricing model
Determine price of cash-or-nothing digital options using Black-Scholes
model
Determine price or sensitivities of
cash-or-nothing digital options using
Black-Scholes model
Price European simple chooser options using Black-Scholes model
Determine price of gap digital options using Black-Scholes model
Determine price or sensitivities of gap digital
options using Black-Scholes model
Determine implied volatility using Black-Scholes option
pricing model
Price options using Black-Scholes option pricing model
Determine option prices or sensitivities using Black-Scholes option pricing
model
Determine price of supershare digital options using Black-Scholes
model
Determine price or sensitivities of supershare
digital options using Black-Scholes
model
Examples and How To
Financial Instruments Toolbox™ supports four types
of closed-form solutions and analytical approximations to calculate
price and sensitivities.
This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
Concepts
Equity derivative instrument functions supported by Financial Instruments
Toolbox™.