Created
October 17, 2011 23:30
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function [vega] = calculate_vega(S,K,r,T,sigma,N,q,option_parity,option_type) | |
vol_change = 0.01; | |
% change constantly volatility inputs, recalculate option prices | |
price_difference = priceit_(S,K,r,T,sigma+vol_change,N,q,option_parity,option_type) ... | |
- priceit_(S,K,r,T,sigma-vol_change,N,q,option_parity,option_type); | |
% take changes in option prices and divide by twice volatility difference | |
vega = price_difference / (2 * vol_change); | |
end |
Author
elee
commented
Oct 25, 2011
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