BS_EC: Black-Scholes Formula for European Call and Put

In OptionPricing: Option Pricing with Efficient Simulation Algorithms

Black-Scholes Formula for European Call and Put

Description

Calculates the Price, Delta and Gamma of an European Call or Put option using the Black-Scholes formula.

Usage

BS_EC( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 )
BS_EP( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 )

Arguments

T	time to maturity (in years)
K	Strike Price
r	risk-free interest rate
sigma	yearly volatility
S0	Starting Stock Price

Value

Returns a vector containing the option price, Delta and Gamma

Author(s)

Wolfgang Hormann

See Also

OptionPricing-package

Examples

BS_EC(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100)
BS_EP(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100)

OptionPricing documentation built on Sept. 16, 2023, 9:07 a.m.