Black-Scholes sensitivity to underlying price change

`[CallDelta, PutDelta] = blsdelta(Price, Strike, Rate, Time,`

Volatility, Yield)

| Current price of the underlying asset. |

| Exercise price of the option. |

| Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |

| Time to expiration of the option, expressed in years. |

| Annualized asset price volatility (annualized standard deviation of the continuously compounded asset return), expressed as a positive decimal number. |

| (Optional) Annualized, continuously compounded yield
of the underlying asset over the life of the option, expressed as
a decimal number. (Default = 0.) For example, for options written
on stock indices, |

```
[CallDelta, PutDelta] = blsdelta(Price, Strike, Rate,
Time, Volatility, Yield)
```

returns delta, the sensitivity
in option value to change in the underlying asset price. Delta is
also known as the hedge ratio. `blsdelta`

uses `normcdf`

, the normal cumulative distribution
function in the Statistics and Machine Learning Toolbox™.

Yield = Rate `Yield` as:Yield = ForeignRate `ForeignRate` is
the continuously compounded, annualized risk free interest rate in
the foreign country. |

Hull, John C., *Options, Futures, and Other Derivatives*,
Prentice Hall, 5th edition, 2003.

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