Description Usage Arguments Details Value Examples
Calculates the Lambda of the call or put option
1 |
type |
Character string, either "call" or "put" |
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 |
Lambda, or elasticity is the percentage change in the option valueper percentage change in the underlying price. It is a measure of leverage.
Calculates the Lambda of the option contract
1 |
[1] -23.80998
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