BSCallVega
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Function Description
Returns the Vega, i.e. sensitivity of price to volatility,
of a European call option assuming that the (generalised) Black-Scholes (i.e.
Garman-Kohlhagen) pricing formula applies, i.e.:
See Black-Scholes option
pricing greeks for further details of notation and (other) option greeks.
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| StrikePrice | Double | Strike price of option |
| UnderlyingPrice | Double | Current price of underlying |
| InterestCts | Double | Interest rate (continously compounded) |
| DividendCts | Double | Dividend yield (continuously compounded) |
| TimeNow | Double | Time now (typically 0) |
| TimeMaturity | Double | Time at maturity |
| ImpliedVolatility | Double | Implied volatility (of price of underlying) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Derivative pricing functions
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Computation units used
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