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%%%
%%% Closed form option pricer for European option under Black-Scholes-Merton
%%% model
%%% 
%%% Copyright (C) 2008  Vladimir Surkov
%%%
%%%
%%% This program is free software: you can redistribute it and/or modify
%%% it under the terms of the GNU General Public License as published by
%%% the Free Software Foundation, either version 3 of the License, or
%%% (at your option) any later version.
%%%
%%% This program is distributed in the hope that it will be useful,
%%% but WITHOUT ANY WARRANTY; without even the implied warranty of
%%% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
%%% GNU General Public License for more details.
%%% 
%%% You should have received a copy of the GNU General Public License
%%% along with this program.  If not, see <http://www.gnu.org/licenses/>.
%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

function [values_call, values_put, time] = ClosedForm_European_BlackScholesMerton(S, K, T, sigma, r, q)


values_call = zeros(length(S), length(K));
values_put = zeros(length(S), length(K));

time = cputime;

for iter_s = 1:length(S)
    for iter_k = 1:length(K)
        [values_call(iter_s, iter_k), values_put(iter_s, iter_k)] = blsprice(S(iter_s), K(iter_k), r, T, sigma, q);
    end
end

time = cputime - time;