optiongamma {optionstrat}

Option Gamma

Description

Calculates the gamma of a European- style call and put option

Usage

optiongamma(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

Details

Gamma is the rate of change of the option's delta given a $1 change in the underlying asset.

Value

Returns the option gamma

Examples

optiongamma(100, 100, 0.20, (45/365), 0.02, 0.02)