EuPutBS: Black & Scholes solution for European put and call

Description Usage Arguments Value See Also Examples

View source: R/EuPutBS.R

Description

Pricing plain vanilla American put and call options using Black & Scholes solution.

Usage

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EuPutBS(Spot, sigma, Strike, r, dr, mT)

EuCallBS(Spot, sigma, Strike, r, dr, mT)

Arguments

Spot

Spot price of the underlying asset (e.g. stock).

sigma

Volatility of the underlying asset.

Strike

Strike price of the option.

r

Interest rate of the numeraire currency (e.g. EUR).

dr

Dividend rate of the underlying asset.

mT

Maturity time (years).

Value

The function returns the price as a single number (class "numeric").

See Also

AmerPutLSM_CV

Examples

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EuPutBS(1, 0.2, 1, 0.06, 0, 1)
EuCallBS(1, 0.2, 1, 0.06, 0, 1)

LSMonteCarlo documentation built on May 29, 2017, 11:08 p.m.