% 
% Written by:
% -- 
% John L. Weatherwax                2006-12-31
% 
% email: wax@alum.mit.edu
% 
% Please send comments and especially bug reports to the
% above email address.
% 
%-----

clear all; 
close all; 
clc; 

E = 5; 
S = linspace(max(E-20,0),E+20)'; S(1)=[];
T = 10; 
t = linspace(0,T); t(1)=[];
r = 0.05; 
sigma = 0.05; 

g = blsgamma(S,E,r,t,sigma); 

%blsdelta,. blstheta, blsvega, blsrho 

figure; hold on; grid on; 
ch=plot( S, PC, '-ro' ); ph=plot( S, PP, '-gx' ); 
legend( [ch,ph], {'call', 'put'} ); 
axis( [ -15 +25 -7.5 40 ] ); 
xlabel('stock price at expiration'); ylabel('option value'); 
%saveas( gcf, '../WriteUp/Graphics/prob_5_7_cp_plot', 'epsc' );