The Black Scholes formula for a call.

Description

The Black Scholes formula for a call.

Example Sheet

CapletValuation.xlsx

Arguments

  • putOrCall (PutOrCall)put or call.
  • strike (Double)The strike
  • timeToExercise (Double)The time to maturity in years from the value date to the exercise date.
  • forward (Double)The forward at the option exercise date.
  • vol (Double)Annualized volatility.
  • discountFactor (Double)The discount factor from the value date to the settlement date of the option.