blsgamma
Black-Scholes sensitivity to underlying delta change
Description
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.
Examples
Input Arguments
Output Arguments
References
[1] Hull, John C. Options, Futures, and Other Derivatives. 5th edition, Prentice Hall, 2003.
Version History
Introduced before R2006a