optstocksensbybls
Determine option prices or sensitivities using Black-Scholes option pricing model
Syntax
Description
computes option prices or sensitivities using the Black-Scholes option pricing model.PriceSens
= optstocksensbybls(RateSpec
,StockSpec
,Settle
,Maturity
,OptSpec
,Strike
)
Note
When using StockSpec
with optstocksensbybls
,
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.
Alternatively, you can use the Vanilla
object to calculate
price or sensitivities for vanilla options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
adds an optional name-value pair argument for PriceSens
= optstocksensbybls(___,Name,Value
)OutSpec
.
Examples
Input Arguments
Output Arguments
More About
Version History
Introduced in R2008bSee Also
impvbybls
| intenvset
| optstockbybls
| stockspec
| Vanilla