putgreek: Put Option Greek

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

Description

Computes the selected option greek, including premium

Usage

putgreek(greek = c("delta", "gamma", "theta", "vega", "rho", "premium"),
  s, x, sigma, t, r, d = 0)

Arguments

greek	String value, desired option greek to return
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 the dired option greek, including premium

Examples

putgreek("vega", 100, 100, 0.20, (45/365), 0.02, 0.02)

Example output

[1] 0.1396469

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