BlackScholesCallPrice: Price of European Call Option

Description Usage Arguments Value Author(s) References Examples

View source: R/BlackScholesCallPrice.R

Description

Derives the price of European call option using the Black-Scholes approach

Usage

1
BlackScholesCallPrice(stockPrice, strike, rf, sigma, t)

Arguments

stockPrice

Stock price of underlying stock

strike

Strike price of the option

rf

Risk-free rate and is annualised

sigma

Volatility of the underlying stock

t

The term to maturity of the option in years

Value

Price of European Call Option

Author(s)

Dinesh Acharya

References

Dowd, Kevin. Measuring Market Risk, Wiley, 2007.

Hull, John C.. Options, Futures, and Other Derivatives. 5th ed., p. 246.

Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.

Examples

1
2
# Estimates the price of an American Put
   BlackScholesCallPrice(27.2, 25, .03, .2, 60)

Dowd documentation built on May 30, 2017, 1:30 a.m.