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: mcmillan

Macro: bs1
Description: calculates option prices using the Black and Scholes formula

Usage: {opvv,sel,ingred} = bs1(task)
Input:
task scalar , =1 without dividend =2 with continuously paid dividend =3 with a fixed dividend at the end of T =4 if for exchange rate
Output:
opvv scalar , value of the option
sel 2 x 1 vector , if sel[1]=1 'call', else 'put'
ingred 6 x 1 vector , stock price, strike price, time of expiration, volatility, domain interest rate, dividend

Example:
see optstart
Result:
option price using Black and Scholes formula 

Library: finance
See also: mcmillan

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

Author: Feldmann, Sperlich 970130
(C) MD*TECH Method and Data Technologies, 28.6.1999