blsdelta (Financial Toolbox)

blsdelta
Black-Scholes sensitivity to underlying price change

Syntax

[CallDelta, PutDelta] = blsdelta(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 volatility.

DividendRate
(Optional) Dividend rate or foreign interest rate where applicable. Enter as a decimal fraction. Default = 0.

`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 volatility.
`DividendRate`	(Optional) Dividend rate or foreign interest rate where applicable. Enter as a decimal fraction. Default = 0.

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.

Examples

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

CallDelta =
    0.5955

PutDelta =
   -0.4045

See Also
blsgamma, blslambda, blsprice, blsrho, blstheta, blsvega

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

blkprice blsgamma