optstockbybls
Price options using Black-Scholes option pricing model
Description
returns option prices using the Black-Scholes option pricing model.Price
= optstockbybls(RateSpec
,StockSpec
,Settle
,Maturity
,OptSpec
,Strike
)
Note
When using StockSpec
with optstockbybls
, you
can modify StockSpec
to handle other types of underliers when
pricing instruments that use the Black-Scholes model.
When pricing Futures (Black model), enter the following in
StockSpec
:
DivType = 'Continuous';
DivAmount = RateSpec.Rates;
When pricing Foreign Currencies (Garman-Kohlhagen model), enter the following in
StockSpec
:
DivType = 'Continuous';
DivAmount = ForeignRate;
where ForeignRate
is the continuously compounded, annualized
risk free interest rate in the foreign country. For example, see Compute Option Prices on Foreign Currencies Using the Garman-Kohlhagen Option Pricing Model.