bear.call: Bear Call Spread

Description Usage Arguments Details Value Note Author(s) See Also Examples

Description

Gives a table and graphical representation of the payoff and profit of a bear call spread for a range of future stock prices.

Usage

1
bear.call(S,K1,K2,r,t,price1,price2,plot=FALSE)

Arguments

S

spot price at time 0

K1

strike price of the short call

K2

strike price of the long call

r

yearly continuously compounded risk free rate

t

time of expiration (in years)

price1

price of the short call with strike price K1

price2

price of the long call with strike price K2

plot

tells whether or not to plot the payoff and profit

Details

Stock price at time t =S_t

For S_t<=K1: payoff =0

For K1<S_t<K2: payoff =K1-S_t

For S_t>=K2: payoff =K1-K2

payoff = profit + (price1 - price2)*e^{r*t}

Value

A list of two components.

Payoff

A data frame of different payoffs and profits for given stock prices.

Premiums

A matrix of the premiums for the call options and the net cost.

Note

K1 must be less than S, and K2 must be greater than S.

Author(s)

Kameron Penn and Jack Schmidt

See Also

bear.call.bls

bull.call

option.call

Examples

1
bear.call(S=100,K1=70,K2=130,r=.03,t=1,price1=20,price2=10,plot=TRUE)

FinancialMath documentation built on May 1, 2019, 11:16 p.m.