Financial Toolbox | ![]() ![]() |
Black-Scholes sensitivity to underlying price volatility
Syntax
Arguments
Description
Vega = blsvega(Price, Strike, Rate, Time, Volatility, DividendRate)
returns vega, the rate of change of the option value with respect to the volatility of the underlying asset.
Note
This function uses normpdf , the normal probability density function in the Statistics Toolbox.
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Examples
See Also
blsdelta
, blsgamma
, blslambda
, blsprice
, blsrho
, blstheta
References
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, Chapter 13.
![]() | blstheta | bndconvp | ![]() |