calldelta: Call Delta

In optionstrat: Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies

Description

Calculates the delta of the European- style call option

Usage

calldelta(s, x, sigma, t, r, d = 0)

Arguments

s	Spot price of the underlying asset
x	Strike price of the option
sigma	Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns
t	Time to maturity in years
r	Annual continuously-compounded risk-free rate, use the function r.cont
d	Annual continuously-compounded dividend yield, use the function r.cont

Details

The delta of an option can be defined as the rate of change of the option value given a $1 change in the underlying asset price.

Value

Returns the call delta

Examples

calldelta(100, 100, 0.20, (45/365), 0.02, 0.02)

Example output

[1] 0.5127391

optionstrat documentation built on Dec. 4, 2019, 1:08 a.m.