# 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™.

**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

## References

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

## Version History

**Introduced before R2006a**