blackscholes matlab,Black-Scholes Model

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™.

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