Description Usage Arguments Value Examples
Creates a data.frame containing both call and put option greeks; delta, gamma, vega, theta, rho and the option premium
1 |
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 |
Returns a data.frame containing the call and put option premium and greeks:
Premium
Delta
Gamma
Vega
Theta
Rho
1 | opteval(100, 100, 0.20, (45/365), 0.02, 0.02)
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