put.greek: Put Greeks

In roptions: Option Strategies and Valuation

Description

Calculate the Specified Option Greek of a Contract

Usage

put.greek(
  greek = c("delta", "gamma", "theta", "vega", "rho"),
  s,
  k,
  t,
  sd,
  r,
  d = 0
)

Arguments

greek	Character String of the greek to be calculated
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. Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. Gamma represents the rate of change between an option's delta and the underlying asset's price. Vega represents the rate of change between an option's value and the underlying asset's implied volatility. Rho represents the rate of change between an option's value and a 1% change in the interest rate.

Value

Output gives the Specified Greek of a Option Contract.

Examples

put.greek('delta', 100, 105, 0.25, 0.35, 0.0488)

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