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blsvega    Examples   See Also

Black-Scholes sensitivity to underlying price volatility.

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

vega = blsvega(so, x, r, t, sig, q) returns vega, the rate of change of the option value with respect to the volatility of the underlying asset.

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

Example

See Also

blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta

Reference

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


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