blsdelta (Financial Toolbox)

Black-Scholes sensitivity to underlying price change.

Syntax

[cd, pd] = blsdelta(so, x, r, t, sig, q)
[cd, pd] = blsdelta(so, x, r, t, sig)

Arguments

so: Current stock price.

x: Exercise price.

r: Risk-free interest rate. Enter as a decimal fraction.

t: Time to maturity of the option, in years.

sig: Standard deviation of the annualized continuously compounded rate of return of the stock, also known as volatility.

q: Dividend rate or foreign interest rate where applicable. Enter as a decimal fraction. Default = 0.

Description

[cd, pd] = blsdelta(so, x, r, t, sig, q)

returns sensitivity in option value to change in the underlying security price. Delta is also known as the hedge ratio. cd is the delta of a call option, and pd is the delta of a put option.

Note: This function uses normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Example

[cd, pd] = blsdelta(50, 50, 0.1, 0.25, 0.3, 0)
cd =
    0.5955
pd =
   -0.4045