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Price Derivative Instruments

Analyze equity option valuation and sensitivity

An equity derivative is a contract whose value is at least partly derived from one or more underlying equity securities. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price Vanilla, Asian, Lookback, Barrier, and Spread options with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Price Equity, FX, Commodity, or Energy Instruments (Financial Instruments Toolbox).

Functions

`binprice`	Binomial put and call American option pricing using Cox-Ross-Rubinstein model
`blkimpv`	Implied volatility for futures options from Black model
`blkprice`	Black model for pricing futures options
`blsdelta`	Black-Scholes sensitivity to underlying price change
`blsgamma`	Black-Scholes sensitivity to underlying delta change
`blsimpv`	Black-Scholes implied volatility
`blslambda`	Black-Scholes elasticity
`blsprice`	Black-Scholes put and call option pricing
`blsrho`	Black-Scholes sensitivity to interest-rate change
`blstheta`	Black-Scholes sensitivity to time-until-maturity change
`blsvega`	Black-Scholes sensitivity to underlying price volatility
`opprofit`	Option profit

Topics

Pricing and Analyzing Equity Derivatives
Compute prices, sensitivities, and profits for portfolios of equity options using the Black-Scholes model for European options and the binomial model for American options.
Greek-Neutral Portfolios of European Stock Options
This example creates an equity option portfolio using the Black-Scholes model for European options that is simultaneously delta, gamma, and vega neutral.
Plotting Sensitivities of an Option
This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
Plotting Sensitivities of a Portfolio of Options
This example plots gamma as a function of price and time for a portfolio of ten Black-Scholes options.
Hedge Options Using Reinforcement Learning Toolbox
Outperform the traditional BSM approach using an optimal option hedging policy.