callgreek {optionstrat}

Call Option Greek

Description

Computes the selected option greek, including premium

Usage

callgreek(greek = c("delta", "gamma", "theta", "vega", "rho", "premium"),
  s, x, sigma, t, r, d = 0)

Arguments

greek

String value, desired option greek to return

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 the desired option greek, including premium

Examples

callgreek("delta", 100, 100, 0.20, (45/365), 0.02, 0.02)
callgreek("gamma", 100, 100, 0.20, (45/365), 0.02, 0.02)