BS {QFRM}

Black-Scholes (BS) pricing model

Description

a wrapper function for BS_Simple; uses OptPx object as input.

Usage

BS(o = OptPx())

Arguments

o

An OptPx object

Value

An original OptPx object with BS list as components of Black-Scholes formular. See BS_Simple.

Author(s)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015

References

Hull, J.C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod. http://amzn.com/0133456315

Examples

#See Hull, p.338, Ex.15.6. #Create an option and price it
o = Opt(Style='Eu', Right='Call', S0 = 42, ttm = .5, K = 40)
o = BS( OptPx(o, r=.1, vol=.2, NSteps=NA))
o$PxBS #print call option price computed by Black-Scholes pricing model
o$BS$Px$Put #print put option price computed by Black-Scholes pricing model