call.delta: Call Delta

In roptions: Option Strategies and Valuation

Description

Calculate the Delta (Option Greek) of a Contract

Usage

call.delta(s, k, t, sd, r, d = 0)

Arguments

s	Spot Price of Underlying Asset
k	Exercise Price of Contract
t	Time to Expiration
sd	Volatality
r	Risk free rate of return
d	Divident Yield (use cont.rate()), Default: 0

Details

Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.

Value

Oupput gives the delta of a Option Contract.

Examples

call.delta(100, 105, 0.25, 0.35, 0.0488)

roptions documentation built on July 8, 2020, 7:30 p.m.