Financial Toolbox

blsdelta

www.kxcad.net Home > CAE Software Index > MATLAB Index >

Black-Scholes sensitivity to underlying price change

Syntax

[CallDelta, PutDelta] = blsdelta(Price, Strike, Rate, Time, 
Volatility, Yield)

Arguments

`Price`	Current price of the underlying asset.
`Strike`	Exercise price of the option.
`Rate`	Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number.
`Time`	Time to expiration of the option, expressed in years.
`Volatility`	Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number.
`Yield`	(Optional) Annualized, continuously compounded yield of the underlying asset over the life of the option, expressed as a decimal number. (Default = 0.) For example, for options written on stock indices, `Yield` could represent the dividend yield. For currency options, `Yield` could be the foreign risk-free interest rate.

Description

[CallDelta, PutDelta] = blsdelta(Price, Strike, Rate, Time, Volatility, Yield) returns delta, the sensitivity in option value to change in the underlying asset price. Delta is also known as the hedge ratio.

Examples

[CallDelta, PutDelta] = blsdelta(50, 50, 0.1, 0.25, 0.3, 0)

CallDelta =
    0.5955

PutDelta =
   -0.4045

References