Financial Toolbox    
blslambda

Black-Scholes elasticity

Syntax

Arguments

Price
Current stock price.
Strike
Exercise price.
Rate
Risk-free interest rate. Enter as a decimal fraction.
Time
Time to maturity of the option in years.
Volatility
Standard deviation of the annualized continuously compounded rate of return of the stock (also known as the volatility).
DividendRate
(Optional) Dividend rate. Enter as a decimal fraction. Default = 0.

Description

[CallEl, PutEl] = blslambda(Price, Strike, Rate, Time, Volatility, DividendRate) returns the elasticity of an option. CallEl is the call option elasticity or leverage factor, and PutEl is the put option elasticity or leverage factor. Elasticity (the leverage of an option position) measures the percent change in an option price per one percent change in the underlying stock price.

Examples

See Also

blsdelta, blsgamma, blsprice, blsrho, blstheta, blsvega

References

Daigler, Advanced Options Trading, Chapter 4.


  blsimpv blsprice