bs模型在matlab,在MATLAB中使用BS模型计算期权希腊值

function [DeltaCall, DeltaPut, Gamma, Vega] = FormulaBSGreeks( S, K, r, tau, sigma, yield)

% Evaluation of the greeks (delta, gamma, vega) for call and put options

% under the Black-Scholes model.

%

% Input: S: Actual price of the underlying asset (can be a vector);

%        K: Strike price;

%        r: (continuous) short-time interest rate for the period;

%        tau: time to maturity;

%        sigma: volatility in the B-S model;

%        yield: continuous dividend rate.

%

% Output: DeltaCall: value of the delta for the European call option;

%         DeltaPut : value of the delta for the European put option;

%         Gamma    : value of the gamma for the European call option

%                   (same value for put option);

%         vega     : value of the vega for the European call option

%