Black-Scholes sensitivity to underlying price volatility
rate of change of the option value with respect to the volatility of the
underlying asset. Vega
= blsvega(Price
,Strike
,Rate
,Time
,Volatility
)blsvega
uses normpdf
, the normal probability
density function in the Statistics and Machine
Learning Toolbox™.
blsvega
can handle other types of underlies like
Futures and Currencies. When pricing Futures (Black model), enter the
input argument Yield
as:
Yield = Rate
Yield
as:Yield = ForeignRate
ForeignRate
is the continuously compounded,
annualized risk-free interest rate in the foreign country.
[1] Hull, John C. Options, Futures, and Other Derivatives. 5th edition, Prentice Hall, 2003.