function [C, P]= option_bs(S,X,r,sigma,days) % % This function to calculate Call and Put price per Black-Scholes formula. % This function can be run both at FreeMAT and MATLAB, % This function should be same as MATLAB's financial toolbox function % blsprice. % % C: call price % P: put price % S: stock price at time 0 % X: strike price % r: risk-free interest rate % sigma: volatility of the stock price measured as annual standard deviation % days: numbers of days remaining in the option contract, this will be converted into unit of years. % Black-Scholes formula: % C = S N(d1) - Xe-rt N(d2) % P = Xe-rt N(-d2) - S N(-d1) % T=days/365; % for call d1 = (log(S/X) + (r + 0.5*sigma^2)*T)/(sigma*sqrt(T)); d2 = d1 - sigma*sqrt(T); N1 = 0.5*(1+erf(d1/sqrt(2))); N2 = 0.5*(1+erf(d2/sqrt(2))); C = S*N1-X*exp(-r*T)*N2; % for put N1 = 0.5*(1+erf(-d1/sqrt(2))); N2 = 0.5*(1+erf(-d2/sqrt(2))); P = X*exp(-r*T)*N2 - S*N1; end

Stock Symbol Change History Nasdaq

4 years ago

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ReplyDeleteIf there is n=365 how the code is for each i? (i=1,2,3,...,365)

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