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 Equity Derivatives (Financial Instruments Toolbox).
|Binomial put and call American option pricing using Cox-Ross-Rubinstein model|
|Implied volatility for futures options from Black model|
|Black model for pricing futures options|
|Black-Scholes sensitivity to underlying price change|
|Black-Scholes sensitivity to underlying delta change|
|Black-Scholes implied volatility|
|Black-Scholes put and call option pricing|
|Black-Scholes sensitivity to interest-rate change|
|Black-Scholes sensitivity to time-until-maturity change|
|Black-Scholes sensitivity to underlying price volatility|
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.
This example creates an equity option portfolio using the Black-Scholes model for European options that is simultaneously delta, gamma, and vega neutral.
This example creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
This example plots gamma as a function of price and time for a portfolio of 10 Black-Scholes options.