Calculates call prices for European options on stocks, based on the Black-Scholes model.

Category: | Financial |

is a nonmissing, positive value that specifies the exercise price.

Requirement | Specify E and S in the same units. |

is a nonmissing value that specifies the time to maturity.

is a nonmissing, positive value that specifies the share price.

Requirement | Specify S and E in the same units. |

is a nonmissing, positive fraction that specifies the risk-free interest rate for period t.

Requirement | Specify a value for r for the same time period as the unit of t. |

is a nonmissing, positive fraction that specifies the volatility of the underlying asset.

Requirement | Specify a value for sigma for the same time period as the unit of t. |

The BLKSHCLPRC function
calculates the call prices for European options on stocks, based on
the Black-Scholes model. The function is based on the following relationship:

$\begin{array}{c}CALL=SN\left({d}_{1}\right)-EN\left({d}_{2}\right){\epsilon}^{-rt}\hfill \end{array}$

$\begin{array}{cc}{d}_{1}=\hfill & \frac{(\mathrm{ln}\left(\frac{S}{E}\right)+(r+\frac{{\sigma}^{2}}{2})t)}{\sigma \sqrt[\phantom{\rule{0ex}{0ex}}]{t}}\hfill \\ {d}_{2}=\hfill & {d}_{1}-\sigma \sqrt[\phantom{\rule{0ex}{0ex}}]{t}\hfill \end{array}$

For information about
the basics of pricing, see Using Pricing Functions .

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