Description Usage Arguments Value Examples
Calculates the premium of a European-style put option using the Black-Scholes option pricing model
1 | putpremium(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 |
Returns the value of the put option
1 | putpremium(100, 100, 0.20, (45/365), 0.02, 0.02)
|
[1] 2.794086
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