European option price and greeks using Matlab

Matlab class that lets you easily display the price and greeks graphs for an European call or put option under the Black-Scholes model.

Usage

Instantiate the Matlab class by passing as arguments:

1. the current asset price,
2. the strike price,
3. the annualized risk-free interest rate,
4. the time to expiration in years,
5. the annualized asset return volatility
6. and the type of option ('call' or 'put').

For example:

callOption = blsEuropeanOption(100, 130, 0.05, 1, 0.2, 'Call');

Now it is possible to execute a method on the object callOption to generate the graph of the option price:

callOption.showPrice();

Similarly, we can execute methods to display the graph of the greeks:

callOption.showDelta();

callOption.showGamma();

callOption.showVega();

callOption.showTheta();

callOption.showRho();