# blsvega

Black-Scholes sensitivity to underlying price volatility

## Description

returns the rate of change of the option value with respect to the volatility of the
underlying asset. `Vega`

= blsvega(`Price`

,`Strike`

,`Rate`

,`Time`

,`Volatility`

)`blsvega`

uses `normpdf`

, the normal probability density function in the Statistics and Machine Learning Toolbox™.

In addition, you can use the Financial Instruments Toolbox™ object framework with the `BlackScholes`

(Financial Instruments Toolbox) pricer object to obtain price and `vega`

values for a `Vanilla`

, `Barrier`

,
`Touch`

, `DoubleTouch`

, or
`Binary`

instrument using a `BlackScholes`

model.

**Note**

`blsvega`

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.

## Examples

## Input Arguments

## Output Arguments

## More About

## References

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

## Version History

**Introduced in R2006a**