Black scholes binary option matlab

Black scholes binary option matlab

This code can be used to price binary options. A binary black scholes binary option matlab have a payoff of 0 or 1.

I wrote this code to price the fair value of the Intrade. Discover Live Editor Create scripts with code, output, and formatted text in a single executable document. Select a Web Site Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: . Click the button below to return to the English version of the page.

The automated translation of this page is provided by a general purpose third party translator tool. European put and call option prices using a Black-Scholes model. If a scalar, then that value is used to price all options. If more than one input is a vector or matrix, then the dimensions of those non-scalar inputs must be the same. Ensure that Rate, Time, Volatility, and Yield are expressed in consistent units of time. Calculate the value of a three-month European call and put with a strike price of 980. Price an FX option on buying GBP with USD.

Current price of the underlying asset, specified as a numeric value. Exercise price of the option, specified as a numeric value. Annualized continuously compounded risk-free rate of return over the life of the option, specified as a positive decimal number. Time to expiration of the option, specified as the number of years. Annualized continuously compounded yield of the underlying asset over the life of the option, specified as a decimal number.

If Yield is empty or missing, the default value is 0. Noteblsprice can handle other types of underlies like Futures and Currencies. Price of a European call option, returned as a matrix. Price of a European put option, returned as a matrix. Run the command by entering it in the MATLAB Command Window. Select a Web Site Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .