Financial Toolbox

blsgamma

Black-Scholes sensitivity to underlying delta change

Syntax

• Gamma = blsgamma(Price, Strike, Rate, Time, Volatility, 
  DividendRate)
  

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) Enter as a decimal fraction. Default = 0.

Description

Gamma = blsgamma(Price, Strike, Rate, Time, Volatility, DividendRate) returns gamma, the sensitivity of delta to change in the underlying security price.

Note    This function uses normpdf, the normal probability density function in the Statistics Toolbox.

Examples

• Gamma = blsgamma(50, 50, 0.12, 0.25, 0.3, 0)
  
  Gamma =
     0.0512
  

See Also

blsdelta, blslambda, blsprice, blsrho, blstheta, blsvega

References

Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.

blsdelta

blsimpv