BS_European_Greeks {greeks}

Computes the Greeks of a European call- or put-option, or of digital options in the Black Scholes model.

Description

For details on the definition of Greeks see Greeks.

Usage

BS_European_Greeks(
  initial_price = 100,
  exercise_price = 100,
  r = 0,
  time_to_maturity = 1,
  volatility = 0.3,
  dividend_yield = 0,
  payoff = "call",
  greek = c("fair_value", "delta", "vega", "theta", "rho", "epsilon", "lambda", "gamma",
    "vanna", "charm", "vomma", "veta", "speed")
)

Arguments

initial_price

• initial price of the underlying asset

exercise_price

• strike price of the option

r

• risk-free interest rate

time_to_maturity

• time to maturity in years

volatility

• volatility of the underlying asset

dividend_yield

• dividend yield

payoff

• in c("call", "put", "cash_or_nothing_call", "cash_or_nothing_put", "asset_or_nothing_call", "asset_or_nothing_put")

greek

• Greeks to be calculated in c("fair_value", "delta", "vega", "theta", "rho", "epsilon", "lambda", "gamma", "vanna", "charm", "vomma", "veta", "vera", "speed", "zomma", "color", "ultima")

Value

Named vector containing the values of the Greeks specified in the parameter greek.

See Also

Malliavin_European_Greeks for the Monte Carlo implementation

Greeks_UI for an interactive visualization

Examples

BS_European_Greeks(initial_price = 120, exercise_price = 100,
r = 0.02, time_to_maturity = 4.5, dividend_yield = 0.015, volatility = 0.22,
greek = c("fair_value", "delta", "gamma"), payoff = "put")