Financial Toolbox | ![]() ![]() |
Black-Scholes sensitivity to underlying price change
Syntax
Arguments
Description
[CallDelta, PutDelta] = blsdelta(Price, Strike, Rate, Time,
Volatility, DividendRate)
returns delta, the sensitivity in option value to change in the underlying security price. Delta is also known as the hedge ratio.
Note
This function uses normcdf , the normal cumulative distribution function in the Statistics Toolbox.
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Examples
See Also
blsgamma
, blslambda
, blsprice
, blsrho
, blstheta
, blsvega
References
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.
![]() | blkprice | blsgamma | ![]() |