| calleval {optionstrat} | R Documentation |
Call Option Evaluation
Description
Creates a data.frame containing call option greeks; delta, gamma, vega, theta, rho and the call premium
Usage
calleval(s, x, sigma, t, r, d = 0)
Arguments
s |
Spot price of the underlying asset |
x |
Strike price of the option |
sigma |
Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns |
t |
Time to maturity in years |
r |
Annual continuously-compounded risk-free rate, use the function r.cont |
d |
Annual continuously-compounded dividend yield, use the function r.cont |
Value
Returns a data.frame containing the option premium and greeks:
Premium
Delta
Gamma
Vega
Theta
Rho
Author(s)
John T. Buynak
Examples
calleval(100, 100, 0.20, (45/365), 0.02, 0.02)
[Package optionstrat version 1.4.1 Index]