calleval: Call Option Evaluation

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

Description

Creates a data.frame containing call option greeks; delta, gamma, vega, theta, rho and the call premium

Usage

calleval(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

Value

Returns a data.frame containing the option premium and greeks:

• Premium

• Delta

• Gamma

• Vega

• Theta

• Rho

Author(s)

John T. Buynak

Examples

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

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