Financial Toolbox | ![]() ![]() |
Syntax
Arguments
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.
Note
This function uses normcdf , the normal cumulative distribution function in the Statistics Toolbox.
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Examples
See Also
blsdelta
, blsgamma
, blsprice
, blsrho
, blstheta
, blsvega
References
Daigler, Advanced Options Trading, Chapter 4.
![]() | blsimpv | blsprice | ![]() |