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R/BlackscholesCalls.R
In pcalls: Pricing of Different Types of Call
Defines functions
BlackscholesCalls
Documented in
BlackscholesCalls
BlackscholesCalls <-
function(s0,k,t,r,vol){
d1<-(log(s0/k)+(r+vol^2/2)*t)/(vol*t^(1/2))
d2<-d1-vol*t^(1/2)
callPrice<-s0*pnorm(d1)-k*exp(-r*t)*pnorm(d2)
return(callPrice)
}
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pcalls documentation built on May 2, 2020, 5:05 p.m.
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Defines functions BlackscholesCalls
Documented in BlackscholesCalls
BlackscholesCalls <-
function(s0,k,t,r,vol){
d1<-(log(s0/k)+(r+vol^2/2)*t)/(vol*t^(1/2))
d2<-d1-vol*t^(1/2)
callPrice<-s0*pnorm(d1)-k*exp(-r*t)*pnorm(d2)
return(callPrice)
}
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R Package Documentation
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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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