Description Usage Arguments Value Author(s) References Examples

View source: R/BlackScholesCallPrice.R

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

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

`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 |

Price of European Call Option

Dinesh Acharya

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.

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.

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