Description Usage Arguments Value Author(s) References Examples
a wrapper function for BS_Simple; uses OptPx
object as input.
1 |
o |
An |
An original OptPx
object with BS
list as components of Black-Scholes formular.
See BS_Simple
.
Oleg Melnikov, Department of Statistics, Rice University, Spring 2015
Hull, J.C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod. http://amzn.com/0133456315
1 2 3 4 5 | #See Hull, p.338, Ex.15.6. #Create an option and price it
o = Opt(Style='Eu', Right='Call', S0 = 42, ttm = .5, K = 40)
o = BS( OptPx(o, r=.1, vol=.2, NSteps=NA))
o$PxBS #print call option price computed by Black-Scholes pricing model
o$BS$Px$Put #print put option price computed by Black-Scholes pricing model
|
[1] 4.759422
[1] 0.8085994
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