BSCallPrice
[this page | pdf | references | back links]
Function Description
Returns the Price (i.e. value) of a European call option
assuming that the (generalised) Black-Scholes (i.e. Garman-Kohlhagen) pricing
formula applies, i.e.:
See Black-Scholes option
pricing greeks for further details of notation and (other) option greeks.
N.B. Returns the same as MnBSCall
Example values for a range of times to maturity are:
![[SmartChart]](I/MnBSCallPrice_files/image002.gif)
NAVIGATION LINKS
Contents | Prev | Next
Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| StrikePrice | Double | Strike price of option |
| UnderlyingPrice | Double | Current price of underlying |
| InterestCts | Double | Interest rate (continously compounded) |
| DividendCts | Double | Dividend yield (continuously compounded) |
| TimeNow | Double | Time now (typically 0) |
| TimeMaturity | Double | Time at maturity |
| ImpliedVolatility | Double | Implied volatility (of price of underlying) |
Links to:
-
Interactively run function
-
Interactive instructions
-
Example calculation
-
Output type / Parameter details
-
Illustrative spreadsheet
-
Other Derivative pricing functions
-
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement