Description Usage Arguments Value Author(s) See Also Examples

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

1 2 |

`T` |
time to maturity (in years) |

`K` |
Strike Price |

`r` |
risk-free interest rate |

`sigma` |
yearly volatility |

`S0` |
Starting Stock Price |

Returns a vector containing the option price, Delta and Gamma

Wolfgang Hormann

1 2 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.