Black-Scholes Call and Implied Vol functions

Version 1.1.0.0 (3.14 KB) by Hemingway
Black-Scholes call option price and implied vol functions. No toolbox required.
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Updated 10 Sep 2010

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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).

Cite As

Hemingway (2026). Black-Scholes Call and Implied Vol functions (https://www.mathworks.com/matlabcentral/fileexchange/28682-black-scholes-call-and-implied-vol-functions), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.1.0.0

Added a demo file (code is not commented!).
1.0.0.0