Black-Scholes Price for Call and Put Options using Matlab

Matlab → Function → Black-Scholes Option Prices

In the next example, call and put option values are calculated using Black-Scholes formula. Remember the option parameter values are given in the command window when we are executing the program. Here we used, $S_0=50,K=52,r=0.1,\sigma=0.35$ , and $T=1$ .

% Function calculating call and put function [call, put] = CallPut(s,k,r,v,t) d1=(log(s/k)+(r+v^2/2)*t)/(v*sqrt(t)); d2=d1-v*sqrt(t); call=s*normcdf(d1)-k*exp(-r*t)*normcdf(d2) put=k*exp(-r*t)*normcdf(-d2)-s*normcdf(-d1)

To run this program, we need to write function name (for example, CallPut in this example) and input values in the command window. Like,

Command Window
>> CallPut(50,52,0.1,0.35,1) call = 8.3158 put = 5.3673