Template - European Call Option

You are provided with the template files that you need to price an European option call using the classical Black-Scholes model.

Run a configuration with the following details:

  • Configuration name: tutorial_EUoptionSingle
  • Library: fpp-library
  • Script file: tutorial_EUoptionSingle
  • Pricing data file: tutorial_SamplePricingData
  • Document file: tutorial_SampleDeal

If you need a refreshment on how to run configuration, see the previous tutorial.

The result is the following:

Fig. 9: The resulting option value.

Fig. 9: The resulting option value.

In the following sections you will be guided with step-by-step instructions to create the files you need to price the call option value with the Valuation Editor.