Financial Toolbox

blslambda

Syntax

[CallEl, PutEl] = blslambda(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) Dividend rate. Enter as a decimal fraction. Default = 0.

Description
[CallEl, PutEl] = blslambda(Price, Strike, Rate, Time, Volatility, DividendRate) returns the elasticity of an option. CallEl is the call option elasticity or leverage factor, and PutEl is the put option elasticity or leverage factor. Elasticity (the leverage of an option position) measures the percent change in an option price per one percent change in the underlying stock price.

Note:   This function uses normcdf, the normal cumulative distribution function in the Statistics Toolbox.

Examples

[CallEl, PutEl] = blslambda(50, 50, 0.12, 0.25, 0.3)

CallEl =
    8.1274
PutEl =
   -8.6466

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

References
Daigler, Advanced Options Trading, Chapter 4.

blsimpv

blsprice