Main Content

Black-Scholes sensitivity to underlying delta change

returns gamma, the sensitivity of delta to change in the underlying asset price.
`Gamma`

= blsgamma(`Price`

,`Strike`

,`Rate`

,`Time`

,`Volatility`

)`blsgamma`

uses `normpdf`

, the probability density
function in the Statistics and Machine Learning Toolbox™.

**Note**

`blsgamma`

can handle other types of underlies like
Futures and Currencies. When pricing Futures (Black model), enter the
input argument `Yield`

as:

Yield = Rate

`Yield`

as:Yield = ForeignRate

`ForeignRate`

is the continuously compounded,
annualized risk-free interest rate in the foreign country.

[1] Hull, John C. *Options, Futures, and Other
Derivatives.*
*5th edition*, Prentice Hall, 2003.