Description Usage Arguments Details Value Examples
Calculates the gamma of a European- style call and put option
1 | optiongamma(s, x, sigma, t, r, d = 0)
|
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 |
Gamma is the rate of change of the option's delta given a $1 change in the underlying asset.
Returns the option gamma
1 | optiongamma(100, 100, 0.20, (45/365), 0.02, 0.02)
|
[1] 0.05663458
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.