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BlackAndSchole - script and chart function

The Black and Scholes model is a mathematical model for financial market derivative instruments. The formula calculates the theoretical value of an option. In Qlik Sense, 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


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.

Volatility (of the stock price) expressed as a percentage in decimal form, per time period.

risk_free_rate The risk-free rate expressed as a percentage in decimal form, per time period.

The type of option:

'c', 'call' or any non-zero numeric value for call options

'p', 'put' or 0 for put options.


The value of strike, time_left, and underlying_price must be >0.

The value of vol and risk_free_rate must be: <0 or >0.

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