BlackscholesCalls: Function that prices a Call via Black-Scholes formula
In pcalls: Pricing of Different Types of Call
Description
Usage
Arguments
Details
Value
Warning
Author(s)
References
Examples
View source: R/BlackscholesCalls.R
Description
Black-Scholes is a model used to price Vanilla European Options assuming that the market is free from arbitrage and the underlying asset price follows a geometric Brownian motion. In other words, it assumes that the underlying stock price follows a random walk and it partially satisfies the efficient market hypothesis.
Usage
1
BlackscholesCalls(s0, k, t, r, vol)
Arguments
s0
stock price at time 0
k
strike price
t
time to maturity in years
r
annual interest rate
vol
annual volatility
Details
No details
Value
Price of the call
Warning
All input values must be stricly positive.
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1
BlackscholesCalls(10,11,1,0.05,0.2) # 0.6040088
pcalls documentation built on May 2, 2020, 5:05 p.m.
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Description Usage Arguments Details Value Warning Author(s) References Examples
View source: R/BlackscholesCalls.R
Description
Black-Scholes is a model used to price Vanilla European Options assuming that the market is free from arbitrage and the underlying asset price follows a geometric Brownian motion. In other words, it assumes that the underlying stock price follows a random walk and it partially satisfies the efficient market hypothesis.
Usage
1 | BlackscholesCalls(s0, k, t, r, vol)
|
Arguments
s0 |
stock price at time 0 |
k |
strike price |
t |
time to maturity in years |
r |
annual interest rate |
vol |
annual volatility |
Details
No details
Value
Price of the call
Warning
All input values must be stricly positive.
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1 | BlackscholesCalls(10,11,1,0.05,0.2) # 0.6040088
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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