mafipy.function.black_scholes_call_value

mafipy.function.black_scholes_call_value(underlying, strike, rate, maturity, vol, today=0.0)

calculate call value in the case of today is not zero. (maturity - today) is treated as time to expiry. See black_scholes_call_formula().

• case \(S > 0, K < 0\)

  • return \(S - e^{-rT} K\)

• case \(S < 0, K > 0\)

  • return 0

• case \(S < 0, K < 0\)

  • return \(S - e^{-rT}K + E[(-(S - K))^{+}]\)

• case \(T \le 0\)

  • return 0

Parameters:

• underlying (float) –
• strike (float) –
• rate (float) –
• maturity (float) –
• vol (float) – volatility. This must be positive.
• today (float) –

Returns:

call value.

Return type:

float