| calcgreeks {GUIDE} | R Documentation |
Calculate the greeks for a European Call/Put.
Description
Function to calculate the greeks for a European Call/Put.
Usage
calcgreeks()
Details
The user inputs are as follows:
Spot: to be entered in numbers for e.g. 120.50
Strike: to be entered in numbers for e.g. 110.50
Maturity in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year
Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 per cent
Type of Option: chosen between Call/Put
Greek: chosen amongst Delta, Gamma, Vega, Theta, Rho
Sigma (Volatility) per annum
Risk free rate per annum:
Clicking "+ / -" increases/decreases the value of the above two inputs.
Value
The value of the chosen greek for a European Call/Put.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.