Vanilla Option - Greeks - Black Scholes - Close Form
Version 1.0.0.0 (1.51 KB) by
Wei Zhang
To calculate vanilla option greeks by B/S
Delta, Gamma, Vega, Rho, Theta, Vanna, Volga
Cite As
Wei Zhang (2024). Vanilla Option - Greeks - Black Scholes - Close Form (https://www.mathworks.com/matlabcentral/fileexchange/44289-vanilla-option-greeks-black-scholes-close-form), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2012a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
Find more on Financial Toolbox in Help Center and MATLAB Answers
Tags
Acknowledgements
Inspired: calcGreeks: Calculate option Greeks (European Black/Scholes)
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Version | Published | Release Notes | |
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1.0.0.0 |