blsprice_test
07-Feb-2015 11:41:33

BLSPRICE_TEST:
  MATLAB version.
  Test the BLSPRICE function.

BLSPRICE_TEST01:
  MATLAB version.
  Call BLSPRICE for the reference case.

  Input to blsprice():

  Current price of the underlying asset = 100
  Exercise price of the option = 95
  Annualized, continuously compounded risk-free rate of return
  of the option, expressed as a positive decimal = 0.1
  Time to expiration of the option, in years = 0.25
  Annualized asset price volatility = 0.5
  (Optional, default = 0.0) Annualized, continuously compounded
  yield of the underlying asset over the life of the option = 0

  Output from blsprice():

  European call price = 13.6953
  European put price  = 6.34971

BLSPRICE_TEST:
  Normal end of execution.

07-Feb-2015 11:41:33
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