Black–Scholes model

Option pricing package in matlab

The following Matlab project contains the source code and Matlab examples used for option pricing package. This package includes Matlab function for pricing various options with alternative approaches: 1) Barone-Adesi and Whaley (1987) quadratic approximation to the price of a call option 2) Price of American call option using a binomial approximation 3) Binomial option price with continous payout from the underlying commodity 4) Hedge parameters for an American call option using a binomial tree

Simple option pricing gui in matlab

The following Matlab project contains the source code and Matlab examples used for simple option pricing gui. This GUI accepts the various constants needed to run a Black-Scholes calculation for pricing several European options: Put, Call, Straddle, Strangle, Bull Spread, Bear Spread, Butterfly It plots the pricing surface for the appropriate option and then runs a number of Monte Carlo simulations (daily granularity) for that given set of parameters.

Graphically explore the black scholes merton option pricing model in matlab

The following Matlab project contains the source code and Matlab examples used for graphically explore the black scholes merton option pricing model. This is a simple graphical utility that enables you to price an option or option-combination contract (such a butterfly spread) using the Black-Scholes-Merton model and visualize the contract price and its gradient as a function of time to expiration and price of the underlying.

Vanilla option price black scholes close form in matlab

The following Matlab project contains the source code and Matlab examples used for vanilla option price black scholes close form. The Black-Scholes formulas for the prices of European call and put options are: c=S_0 e^(-r_f T) N(d_1 )- Ke^(-r_d T) N(d_2) and p=Ke^(-r_d T) N(-d_2 )- S_0 e^(-r_f T) N(-d_1) where d_1=(ln⁡(S_0/K)+(r_d-r_f+σ^2/2)T)/(σ√T) d_2=(ln⁡(S_0/K)+(r_d-r_f-σ^2/2)T)/(σ√T)=d_1-σ√T
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