EuropeanBSCall_Greeks#
Purpose#
Computes Delta, Gamma, Theta, Vega, and Rho for European call options using Black, Scholes, and Merton method.
Format#
- { d, g, t, v, rh } = EuropeanBSCall_Greeks(S0, K, r, div, tau, sigma)#
- Parameters:
S0 (scalar) – current price.
K (Mx1 vector) – strike prices.
r (scalar) – risk free rate.
div (scalar) – continuous dividend yield.
tau (scalar) – elapsed time to exercise in annualized days of trading.
sigma (scalar) – volatility.
- Returns:
d (Mx1 vector) – delta.
g (Mx1 vector) – gamma.
t (Mx1 vector) – theta.
v (Mx1 vector) – vega.
rh (Mx1 vector) – rho.
Global Input#
- _fin_thetaType#
scalar, if 1, one day look ahead, else, infinitesmal. Default = 0.
- _fin_epsilon#
scalar, finite difference stepsize. Default = 1e-8.
Examples#
S0 = 305;
K = 300;
r = .08;
sigma = .25;
tau = .33;
print EuropeanBSCall_Greeks(S0, K, r, 0, tau, sigma);
produce:
0.6446
0.0085
-38.5054
65.2563
56.8720
Source#
finprocs.src
See also
Functions EuropeanBSCall_ImpVol(), EuropeanBSCall(), EuropeanBSPut_Greeks(), EuropeanBinomCall_Greeks()