BS_EC: Black-Scholes Formula for European Call and Put

Description Usage Arguments Value Author(s) See Also Examples

Description

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

Usage

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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

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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)


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