Black-Scholes sensitivity to underlying price change

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

`[CallDelta,PutDelta] = blsdelta(___,Yield)`

`[`

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

,`PutDelta`

] = blsdelta(`Price`

,`Strike`

,`Rate`

,`Time`

,`Volatility`

)`blsdelta`

uses
`normcdf`

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

`blsdelta`

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.