# blsdelta

Black-Scholes sensitivity to underlying price change

## Syntax

## Description

`[`

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™.

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

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

values for a `Vanilla`

,
`Barrier`

, `Touch`

,
`DoubleTouch`

, or `Binary`

instrument using a
`BlackScholes`

model.

**Note**

`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.

## 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**