blsvega (Financial Toolbox)

blsvega
Black-Scholes sensitivity to underlying price volatility

Syntax

Vega = blsvega(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.

`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
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.

Examples

Vega = blsvega(50, 50, 0.12, 0.25, 0.3, 0)

Vega =
    9.6035

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

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

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