The Black and Scholes model is a mathematical model for financial market derivative instruments. The formula calculates the theoretical value of an option. In QlikView, the BlackAndSchole function returns the value according to the Black and Scholes unmodified formula (European style options).
BlackAndSchole(strike , time_left , underlying_price , vol , risk_free_rate , type)
Return data type: numeric
Arguments:
| Argument | Description |
|---|---|
| strike | The future purchase price of the stock. |
| time_left | The number of time periods remaining. |
| underlying_price | The current value of the stock. |
| vol | The volatility in % per time period. |
| risk_free_rate | The risk -free rate in % per time period. |
| type |
The type of option: 'c', 'call' or any non-zero numeric value for call options 'p', 'put' or 0 for put options. |
Examples and results:
| Example | Result |
|---|---|
|
BlackAndSchole(130, 4, 68.5, 0.4, 0.04, 'call') This calculates the theoretical price of an option to buy a share that is worth 68.5 today, at a value of 130 in 4 years. A volatility of 40% per year and a risk-free interest rate of 4% is assumed. |
Returns 11.245 |
