Financial Toolbox
  Go to function:
    Search    Help Desk 
blsgamma    Examples   See Also

Black-Scholes sensitivity to underlying delta change.

Syntax

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 the volatility).
q
Dividend rate. Enter as a decimal fraction. Default = 0.

Description

g = blsgamma(so, x, r, t, sig, q) returns gamma g, the sensitivity of delta to change in the underlying security price.

Note: This function uses normpdf, the normal probability density function in the Statistics Toolbox.

Example

See Also

blsdelta, blslambda, blsprice, blsrho, blstheta, blsvega

Reference

Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.


[ Previous | Help Desk | Next ]