| option.call {FinancialMath} | R Documentation |
Call Option
Description
Gives a table and graphical representation of the payoff and profit of a long or short call option for a range of future stock prices.
Usage
option.call(S,K,r,t,sd,price=NA,position,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 call price if the Black Scholes pricing is not desired (leave as NA to use the Black Scholes pricing) |
position |
either buyer or seller of option ("long" or "short") |
plot |
tells whether or not to plot the payoff and profit |
Details
Stock price at time t =S_t
Long Position:
payoff = max(0,S_t-K)
profit = payoff - price*e^{r*t}
Short Position:
payoff = -max(0,S_t-K)
profit = payoff + price*e^{r*t}
Value
A list of two components.
Payoff |
A data frame of different payoffs and profits for given stock prices. |
Premium |
The price for the call option. |
Note
Finds the call price by using the Black Scholes equation by default.
Author(s)
Kameron Penn and Jack Schmidt
See Also
Examples
option.call(S=100,K=110,r=.03,t=1.5,sd=.2,price=NA,position="short")
option.call(S=100,K=100,r=.03,t=1,sd=.2,price=10,position="long")