Description Usage Arguments Details Value Warning Author(s) References Examples

View source: R/BlackscholesCalls.R

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.

1 | ```
BlackscholesCalls(s0, k, t, r, vol)
``` |

`s0` |
stock price at time 0 |

`k` |
strike price |

`t` |
time to maturity in years |

`r` |
annual interest rate |

`vol` |
annual volatility |

No details

Price of the call

All input values must be stricly positive.

Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija

"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)

1 | ```
BlackscholesCalls(10,11,1,0.05,0.2) # 0.6040088
``` |

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