[CallEl, PutEl] = blslambda(Price, Strike, Rate, Time, Volatility,
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,
[CallEl, PutEl] = blslambda(Price, Strike, Rate, Time,
Volatility, Yield) returns the elasticity of an option.
the call option elasticity or leverage factor, and
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 asset price.
normcdf, the normal cumulative distribution
function in the Statistics and Machine Learning Toolbox™.
When pricing currencies (Garman-Kohlhagen model), enter the input argument
Yield = Rate
Yield = ForeignRate
This example shows how to find the Black-Scholes elasticity, or leverage, of an option positon.
[CallEl, PutEl] = blslambda(50, 50, 0.12, 0.25, 0.3)
CallEl = 8.1274 PutEl = -8.6466
Daigler, Advanced Options Trading, Chapter 4.