call.vega: Call Vega

In roptions: Option Strategies and Valuation

Description

Calculate the Vega (Option Greek) of Option Contract

Usage

call.vega(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

Vega represents the rate of change between an option's value and the underlying asset's implied volatility.

Value

Output gives the Vega of a Option Contract.

Examples

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

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