XploRe Help : BlackScholes

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	american asset bitree european mcmillan optstart IBTcrr IBTbc

Quantlet:		BlackScholes
Description:		calculates option prices using the Black and Scholes formula for no dividend European options

Reference(s):

Options, Futures and Other Derivative Securities (1993), J. Hull, Prentice-Hall

Usage:	`opc = BlackScholes(S, K, r, sigma, tau, task)`
Input:
	`S`	scalar: the current value of the index
	`K`	scalar: exercise price
	`r`	scalar: riskless interest rate
	`sigma`	scalar: Black Scholes implied volatility of the European option
	`tau`	scalar: time to expiration (by year)
	`task`	scalar: if task=1, calculate the call option price; if task=0, calculate the put option price if task="call" "Call" or "CALL", calculate the call option price; if task="put" "PUT" or "Put" , calculate the put option price
Output:
	`opc`	scalar: call option price or put option price

Example:

library("finance") S=100 r=0.03 K=100 tau=1 sigma=0.1 task=1 C=BlackScholes(S, K, r, sigma, tau,task) C

Result:

Output is the one year's call option price :

Contents of C

[1,]   5.582

Author: J. Zheng, W. Haerdle, 20010602 license MD*Tech