Instrument sensitivities and prices using implied trinomial tree (ITT)
[Delta, Gamma, Vega] = ittsens(ITTTree,
InstSet)
[Delta, Gamma, Vega, Price] = ittsens(ITTTree,
InstSet)
[Delta, Gamma, Vega, Price] = ittsens(ITTTree,
InstSet,
Options)
 Implied trinomial stock tree. See 
 Variable containing a collection of 
 (Optional) Structure created using 
[Delta, Gamma, Vega] = ittsens(ITTTree,
InstSet)
to calculate instrument sensitivities and prices
using an implied trinomial tree (ITT).
[Delta, Gamma, Vega, Price] = ittsens(ITTTree,
InstSet)
to calculate a collection of instrument sensitivities
and prices using an implied trinomial tree (ITT).
[Delta, Gamma, Vega, Price] = ittsens(ITTTree,
InstSet,
to calculate the sensitivities
and prices for a collection of instruments that contain derivative
pricing options using an implied trinomial tree (ITT).
Options)
The outputs for ittsens
are:
Delta
is a NINST
by1
vector
of deltas, representing the rate of change of instruments prices with
respect to changes in the stock price.
Gamma
is a NINST
by1
vector
of gammas, representing the rate of change of instruments deltas with
respect to changes in the stock price.
Vega
is a NINST
by1
vector
of vegas, representing the rate of change of instruments prices with
respect to changes in the volatility of the stock. Vega
is
computed by finite differences in calls to itttree
.
Price
is a NINST
by1
vector
of prices of each instrument. The prices are computed by backward
dynamic programming on the stock tree. If an instrument cannot be
priced, a NaN
is returned.
ittsens
computes dollar sensitivities and
prices for instruments using an ITT tree created with itttree
.
Note:

For pathdependent options (lookbacks and Asians), Delta
and Gamma
are
computed by finite differences in calls to ittprice
.
For the rest of the options (optstock, barrier, and compound), Delta
and Gamma
are
computed from the ITT tree and the corresponding option price tree.
All sensitivities are returned as dollar sensitivities. To find the perdollar sensitivities, they must be divided by their respective instrument price.
Chriss, Neil. and I. Kawaller. BlackScholes and Beyond: Options Pricing Models. McGrawHill, 1996, pp.308–312.