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

1
2
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

1
2
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)