collar.bls: Collar Strategy - Black Scholes
In FinancialMath: Financial Mathematics for Actuaries

Description Usage Arguments Details Value See Also Examples

Gives a table and graphical representation of the payoff and profit of a collar strategy for a range of future stock prices. Uses the Black Scholes equation for the call and put prices.

1	collar.bls(S,K1,K2,r,t,sd,plot=FALSE)

`S`	spot price at time 0
`K1`	strike price of the long put
`K2`	strike price of the short call
`r`	yearly continuously compounded risk free rate
`t`	time of expiration (in years)
`sd`	standard deviation of the stock (volatility)
`plot`	tells whether or not to plot the payoff and profit

Stock price at time t =S_t

For S_t<=K1: payoff =K1-S_t

For K1<S_t<K2: payoff =0

For S_t>=K2: payoff =K2-S_t

profit = payoff+(price_{K2}-price_{K1})*e^{r*t}

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 and put options and the net cost.

option.put

option.call