Black Scholes Option Pricing Model (BSOPM) Utilities
The basic BSOPM is found in Black, F., and M.S. Scholes (1973). "The Pricing of Options and Corporate Liabilities", J. Poli Economy 81 (Ma/Je), 637-659. The modification to account for cost-to-carry, as well as the binomial tree methods for European and American style options may be found texts such as Hull, J.C. (2000). Options, Futures & Other Derivatives, New Jersey: Prentice Hall.
We provide 3 utilities to calculate BSOPM option prices:
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