Financial Toolbox | ![]() ![]() |
Black-Scholes sensitivity to interest rate change
Syntax
Arguments
Description
[CallRho, PutRho]= blsrho(Price, Strike, Rate, Time, Volatility,
DividendRate)
returns the call option rho CallRho
, and the put option rho PutRho
. Rho is the rate of change in value of derivative securities with respect to interest rates.
Note
This function uses normcdf , the normal cumulative distribution function in the Statistics Toolbox.
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Examples
See Also
blsdelta
, blsgamma
, blslambda
, blsprice
, blstheta
, blsvega
References
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.
![]() | blsprice | blstheta | ![]() |