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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

assetbyblsDetermine price of asset-or-nothing digital options using Black-Scholes model
assetsensbyblsDetermine price or sensitivities of asset-or-nothing digital options using Black-Scholes model
barrierbyblsPrice European barrier options using Black-Scholes option pricing model
barriersensbyblsCalculate price or sensitivities for European barrier options using Black-Scholes option pricing model
dblbarrierbyblsPrice European double barrier options using Black-Scholes option pricing model
dblbarriersensbyblsCalculate prices and sensitivities for European double barrier options using Black-Scholes option pricing model
touchbyblsPrice one-touch and no-touch binary options using Black-Scholes option pricing model
touchsensbyblsCalculate price or sensitivities for one-touch and no-touch binary options using Black-Scholes option pricing model
dbltouchbyblsPrice double one-touch and double no-touch binary options using Black-Scholes option pricing model
dbltouchsensbyblsCalculate prices and sensitivities for double one-touch and double no-touch binary options using Black-Scholes option pricing model
cashbyblsDetermine price of cash-or-nothing digital options using Black-Scholes model
cashsensbyblsDetermine price or sensitivities of cash-or-nothing digital options using Black-Scholes model
chooserbyblsPrice European simple chooser options using Black-Scholes model
gapbyblsDetermine price of gap digital options using Black-Scholes model
gapsensbyblsDetermine price or sensitivities of gap digital options using Black-Scholes model
impvbyblsDetermine implied volatility using Black-Scholes option pricing model
optstockbyblsPrice options using Black-Scholes option pricing model
optstocksensbyblsDetermine option prices or sensitivities using Black-Scholes option pricing model
supersharebyblsDetermine price of supershare digital options using Black-Scholes model
supersharesensbyblsDetermine price or sensitivities of supershare digital options using Black-Scholes model

Examples and How To

Equity Derivatives Using Closed-Form Solutions

Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.

Pricing European Call Options Using Different Equity Models

This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.

Concepts

Supported Equity Derivative Functions

Equity derivative instrument functions supported by Financial Instruments Toolbox™.