Financial Toolbox

blsgamma

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