| BS_EC {OptionPricing} | R Documentation |
Black-Scholes Formula for European Call and Put
Description
Calculates the Price, Delta and Gamma of an European Call or Put option using the Black-Scholes formula.
Usage
BS_EC( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 )
BS_EP( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 )
Arguments
T |
time to maturity (in years) |
K |
Strike Price |
r |
risk-free interest rate |
sigma |
yearly volatility |
S0 |
Starting Stock Price |
Value
Returns a vector containing the option price, Delta and Gamma
Author(s)
Wolfgang Hormann
See Also
Examples
BS_EC(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100)
BS_EP(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100)
[Package OptionPricing version 0.1.2 Index]