lambda {optionstrat}

Lambda

Description

Calculates the Lambda of the call or put option

Usage

lambda(type = "call", s, x, sigma, t, r, d = 0)

Arguments

type

Character string, either "call" or "put"

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

Details

Lambda, or elasticity is the percentage change in the option valueper percentage change in the underlying price. It is a measure of leverage.

Value

Calculates the Lambda of the option contract

Examples

lambda(type = "put", s = 100, x = 100, sigma = 0.15, t = 45/365, r = 0.02)