covered.put {FinancialMath} | R Documentation |
Covered Put
Description
Gives a table and graphical representation of the payoff and profit of a covered put strategy for a range of future stock prices.
Usage
covered.put(S,K,r,t,sd,price=NA,plot=FALSE)
Arguments
S |
spot price at time 0 |
K |
strike price |
r |
continuously compounded yearly risk free rate |
t |
time of expiration (in years) |
sd |
standard deviation of the stock (volatility) |
price |
specified put price if the Black Scholes pricing is not desired (leave as NA to use the Black Scholes pricing) |
plot |
tells whether or not to plot the payoff and profit |
Details
Stock price at time t
For : payoff
For : payoff
profit = payoff + price
Value
A list of two components.
Payoff |
A data frame of different payoffs and profits for given stock prices. |
Premium |
The price of the put option. |
Note
Finds the put price by using the Black Scholes equation by default.
See Also
Examples
covered.put(S=100,K=110,r=.03,t=1,sd=.2,plot=TRUE)
[Package FinancialMath version 0.1.1 Index]