lambda: Lambda

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

Description

Calculates the Lambda of the call or put option

Usage

lambda(type = "call", s, x, sigma, t, r, d = 0)

Arguments

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

Details

Lambda, or elasticity is the percentage change in the option valueper percentage change in the underlying price. It is a measure of leverage.

Value

Calculates the Lambda of the option contract

Examples

lambda(type = "put", s = 100, x = 100, sigma = 0.15, t = 45/365, r = 0.02)

Example output

[1] -23.80998

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