gistfile1.matlab

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

>> pprint = @(price,delta,gamma,theta,rho,vega) sprintf('Price: %0.4f\tDelta: %0.4f\tGamma: %0.4f\nTheta: %0.4f\t  Rho: %0.4f\t Vega: %0.4f\n', price,delta,gamma,theta,rho,vega);
>> % EU call
[price, delta, gamma, theta, rho, vega] = price_option(100,100,.06,1,.2,300,.0815,'call','eu');
pprint(price,delta,gamma,theta,rho,vega)
% EU put
[price, delta, gamma, theta, rho, vega] = price_option(100,100,.06,1,.2,300,.0815,'put','eu');
pprint(price,delta,gamma,theta,rho,vega)

ans =

Price: 11.0810  Delta: 0.6590   Gamma: 0.0184
Theta: -7.0755    Rho: -76.9660  Vega: 63.1024



ans =

Price: 5.1080   Delta: -0.3425  Gamma: 0.0184
Theta: -1.2742    Rho: 29.1287   Vega: 23.0459


>>