call.greek {roptions}

Specified Call Option Greek

Description

Calculate the Specified Option Greek of a Contract

Usage

call.greek(
  greek = c("delta", "gamma", "theta", "vega", "rho"),
  s,
  k,
  t,
  sd,
  r,
  d = 0
)

Arguments

greek

Character String of the greek to be calculated

s

Spot Price of Underlying Asset

k

Exercise Price of Contract

t

Time to Expiration

sd

Volatality

r

Risk free rate of return

d

Divident Yield (use cont.rate()), Default: 0

Details

Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. Gamma represents the rate of change between an option's delta and the underlying asset's price. Vega represents the rate of change between an option's value and the underlying asset's implied volatility. Rho represents the rate of change between an option's value and a 1% change in the interest rate.

Value

Output gives the Specified Greek of a Option Contract.

Examples

call.greek('delta', 100, 105, 0.25, 0.35, 0.0488)