bls.order1: Black Scholes First-order Greeks

In FinancialMath: Financial Mathematics for Actuaries

Description

Gives the price and first order greeks for call and put options in the Black Scholes equation.

Usage

bls.order1(S,K,r,t,sd,D=0)

Arguments

S	spot price at time 0
K	strike price
r	continuously compounded yearly risk free rate
t	time of expiration (in years)
sd	standard deviation of the stock (volatility)
D	continuous dividend yield

Value

A matrix of the calculated greeks and prices for call and put options.

Note

Cannot have any inputs as vectors.

t cannot be negative.

Either both or neither of S and K must be negative.

Author(s)

Kameron Penn and Jack Schmidt

See Also

option.put

option.call

Examples

x <- bls.order1(S=100, K=110, r=.05, t=1, sd=.1, D=0)
ThetaPut <- x["Theta","Put"]
DeltaCall <- x[2,1]

Example output

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