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BlackScholesGetDelta Method

Computes option delta.

Namespace:  FinMath.Derivatives
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
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public static double GetDelta(
	OptionType optionType,
	double stockPrice,
	double strikePrice,
	double riskFreeRate,
	double annualDividendYield,
	double timeToMaturity,
	double volatility
)

Parameters

optionType
Type: FinMath.DerivativesOptionType
Type of option (call/put).
stockPrice
Type: SystemDouble
Stock price of the underlying asset.
strikePrice
Type: SystemDouble
Strike price of the undelying asset.
riskFreeRate
Type: SystemDouble
Risk-free interest rate.
annualDividendYield
Type: SystemDouble
Annual dividend yield of the underlying asset.
timeToMaturity
Type: SystemDouble
Time to the expiration date.
volatility
Type: SystemDouble
The underlying asset volatility.

Return Value

Type: Double
Option delta.
See Also