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Black-Scholes Call and Implied Vol functions

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call: function to calculate BS call price
call_vega: BS call vega (i.e. partial derivative of call with respect to vol)
Phi: normal cdf
PhiPrime: normal pdf
impvol: finds vol given a call price

demo: a script demonstrating the impvol function

d1 and d2 are auxiliary functions

NOTE: the impvol function is *hugely* faster than the financial toolbox's function blsimpv (950 call prices, other parameters fixed, impvol is ~600x faster).

Free download from Shareware Connection - call: function to calculate BS call price call_vega: BS call vega (i.e.

Publisher: Hemingway | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 20-01-2013 | Rating: 0 | Title: Black-Scholes Call and Implied Vol functions

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/28682/2/BlackScholes.zip

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