Rho_c: Rho (Call Greek)

Description Usage Arguments Examples

View source: R/callGreeks.R

Description

A partial derivative of the Black-Scholes Equation: dc/dr (with respect to the interest rate)

Usage

1
Rho_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

1
Rho_c(S=40,K=40,sigma=0.3,r=0.08,delta=0,t=91/365)

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