QUANT.OPTION.PRICE OpenBI

What a call or put option is worth today, by Black–Scholes or, for an American option, a binomial tree.

Group: Quantitative finance. OpenBI’s own: DAX has no function of this name.

Syntax

QUANT.OPTION.PRICE ( <optionType>, <spot>, <strike>, <valuationDate>, <expiry>, <volatility>, <riskFreeRate> [, <dividendYield>] [, <style>] )

Parameter	Type	Description
`optionType`	Text	"call" or "put".
`spot`	Number	The price of what the option is on, today.
`strike`	Number	The price at which the option lets its holder buy (a call) or sell (a put).
`valuationDate`	Date	The day the option is valued.
`expiry`	Date	The day the option expires; it must come after the valuation date.
`volatility`	Number	The yearly volatility as a decimal: 0.2 for 20 %.
`riskFreeRate`	Number	The risk-free rate as a decimal, continuously compounded.
`dividendYield`	Number optional	A continuous dividend yield (or, for a commodity or a currency, its carry) as a decimal; 0 when left out.
`style`	Text optional	"european" (when left out), exercised at expiry only, or "american", any day until then.

Returns

Number. The option's value, in the units of the spot and the strike.

Remarks

Time runs from the valuation date to the expiry in days over 365. The rate, the dividend yield and the volatility are flat over that time.
A European option is valued with the Black–Scholes–Merton formula; an American one with a Cox–Ross–Rubinstein binomial tree, close to the exact value but not equal to it.
Without dividends an American call is worth as much as a European one; the tree's answer then differs from the formula's in the third decimal.
An expiry on or before the valuation date, a type other than call or put, or a style other than european or american is an error.
The Brewery's trading page values a call on malting barley this way, with the last close as the spot.

Compared with DAX

An OpenBI function: DAX has none like it, so a measure or query that uses it works in OpenBI only, not in Power BI or Analysis Services.

Examples

A call and a put at the money

Spot and strike 100, one year, 20 % volatility, a 5 % rate. The put is worth less than the call, as put–call parity says: call − put = spot − strike × e^(−rate × time). The American put is worth more than the European one: exercising it early can pay.

EVALUATE
VAR Today = DATE ( 2026, 1, 1 )
VAR Expiry = DATE ( 2027, 1, 1 )
RETURN
    ROW (
        "Call", QUANT.OPTION.PRICE ( "call", 100, 100, Today, Expiry, 0.2, 0.05 ),
        "Put", QUANT.OPTION.PRICE ( "put", 100, 100, Today, Expiry, 0.2, 0.05 ),
        "Call − put", QUANT.OPTION.PRICE ( "call", 100, 100, Today, Expiry, 0.2, 0.05 )
            - QUANT.OPTION.PRICE ( "put", 100, 100, Today, Expiry, 0.2, 0.05 ),
        "Parity", 100 - 100 * EXP ( -0.05 ),
        "American put", QUANT.OPTION.PRICE ( "put", 100, 100, Today, Expiry, 0.2, 0.05, 0, "american" )
    )

Call	Put	Call − put	Parity	American put
10.4505835721856	5.57352602225697	4.87705754992861	4.87705754992859	6.09222914606866

A call on malting barley

A call at 6,000 a tonne, six months out, with 25 % volatility and a 4 % rate, on the last close of the Prices table.

EVALUATE
VAR Close =
    CALCULATE (
        MAX ( Prices[Close] ),
        Prices[Commodity] = "Malting barley",
        Prices[Date] = DATE ( 2026, 10, 14 )
    )
RETURN
    ROW (
        "Close", Close,
        "Call", QUANT.OPTION.PRICE ( "call", Close, 6000, DATE ( 2026, 10, 14 ), DATE ( 2027, 4, 14 ), 0.25, 0.04 )
    )

Close	Call
5916.59	432.68641138398

The call's value by the barley price

Today's value against what it would pay at expiry, for prices from 5,000 to 7,000.

EVALUATE
ADDCOLUMNS (
    GENERATESERIES ( 5000, 7000, 500 ),
    "At expiry", MAX ( [Value] - 6000, 0 ),
    "Today", QUANT.OPTION.PRICE ( "call", [Value], 6000, DATE ( 2026, 10, 14 ), DATE ( 2027, 4, 14 ), 0.25, 0.04 )
)

Value	At expiry	Today
5000	0	92.483139576831
5500	0	237.960768738868
6000	0	479.747081971747
6500	500	812.461639696762
7000	1000	1215.12936825922

QUANT.OPTION.GREEK, QUANT.OPTION.IMPLIEDVOL, MONTECARLO, GENERATESERIES.

Last updated 3 November 2026 · OpenBI Studio 0.3.74