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
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. |