black scholes matlab

Black-Scholes model is a mathematical model used to price options contracts. It assumes that the price of the underlying asset follows a geometric Brownian motion with constant volatility. Here is an example of how to implement the Black-Scholes model in MATLAB:

% Define the inputs
S = 100; % underlying asset price
K = 110; % option strike price
r = 0.05; % risk-free interest rate
T = 1; % time to expiration in years
sigma = 0.2; % volatility of the underlying asset

% Calculate the option price using the Black-Scholes formula
d1 = (log(S/K) + (r + sigma^2/2)*T) / (sigma*sqrt(T));
d2 = d1 - sigma*sqrt(T);
CallOptionPrice = S*normcdf(d1) - K*exp(-r*T)*normcdf(d2)
PutOptionPrice = K*exp(-r*T)*normcdf(-d2) - S*normcdf(-d1)

This code will output the call and put option prices using the Black-Scholes formula.