Psi_c: Psi (Call Greek)

In m4fe: Models for Financial Economics

Description

A partial derivative of the Black-SCholes Equation: dc/ddelta (with respect to the dividend rate)

Usage

Psi_c(S, K, sigma, r, delta, t)

Arguments

S	The Stock Price
K	The Strike Price
sigma	The volatility
r	The continuously compounded risk-tree interest rate
delta	The annualized dividend rate
t	The expiration date

Examples

Psi_c(S=40,K=40,sigma=0.3,r=0.08,delta=0,t=91/365)

Example output

[1] -0.05808085

m4fe documentation built on May 29, 2017, 9:40 p.m.