black_scholes: Black-Scholes pricing for call and put options

In VarSwapPrice: Pricing a variance swap on an equity index

Description

This function computes the analytical prices of call and put options using the formulas obtained by Black and Scholes (1973).

Usage

black_scholes(S, X, r, t, vol)

Arguments

S	spot price
X	strike price
r	risk-free interest rate
t	time to maturity
vol	volatility

Value

CallPrice	price of a call option
PutPrice	price of a put option

Author(s)

Paolo Zagaglia, [e-mail]

References

Fischer Black and Myron Scholes (1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81(3), 637-654.

Examples

S      <- c( 100 )
X      <- c( 70 )
r      <- c( 0.05 )
t      <- c( 50 )
vol    <- c( 0.2 )
prices <- black_scholes(S, X, r, t, vol) 

Example output

VarSwapPrice documentation built on May 2, 2019, 5:50 a.m.